I'd say morrowind for me but it's not really a fair anolysis. -- for me, anyway.
I was in the military and working on civilian engineering projects in the 90's so my first real pc rpg was morrowind. I'd played diablo I and II of course and dungeon siege came out like a month after morrowind but they were more action oriented rpg's. I'm not even sure it's fair to call DS or the Diablo's "true" rpg's. So... in my case, Morrowind was kind of like your first freaky girlfriend - you know, the one that wants to try everything on you and with you and can't get enough of you. After that, everything else just pales in comparison - no matter how good it is.
Skyrim comes much closer to giving me that "I'm about to crap myself" feeling that morrowind gave you 24/7. Oblvion was much tamer. The fallouts were much grittier - although at the time I loved fallout 3 just about more than anything I'd ever seen - having finally married the concept of a shooter with rpg stats. I don't care much for shooters and that's mostly because it's run and gun action with zero immersion and zero investment in your character. Fallout did what all good/great rpg's do - made you feel like you were part it's universe.
Morrowind was definitely much more difficult to advance in. You felt like you earned that level 20 - not had it handed to you in a couple of days like skyrim does. That being said, by lvl 30 - 40 in morrowind you were godlike while at lvl 50 in skyrim I am still challenged here and there. It is most definitely a challenge to survive an ancient dragon attack when you have zero resistance to it's breath.