I would get all four TES games . Altogether, all four TES games(excluding spinoffs) are only $40.
Heh. The one spinoff I bought recently (Redguard) was $40. And getting the hard-copy of the Redguard comic book and the 1st Pocket Guide alone was worth the $40.
Good thing Daggerfall and Arena are completely free, minus the hassle of setting them up. Sad day that they don't come with PDFs of their manuals.

I would say, if you could only choose one for some ridiculous reason such as pain of death, then I would get Morrowind. Not as flashy, but infinitely deeper.
Mods can't add lore. Lore is canon, mods aren't
While I agree with your sentiment, it's ironic that most of the lore that's actually discussed anymore is technically not "canon" lore. It's http://www.imperial-library.info/obscure_text/ posted by developers and ex-developers, but it's not in the game and therefore is not canon. Yet despite not being canon, they are far more interesting and far more enriching to the ES universe than anything canon, save perhaps the 36 Lessons of Vivec.