The nice thing about Morrowind was the "frontier" feel, being dropped off in Seyda Neen with no idea what to do. Right from the beginning you encounter all of these eccentrics such as Fargoth and Hrisskar Flat-foot, and start to get an idea of what the different races are like and hear a little bit about politics. Wandering through the Bitter Coast with only the faintest of directions, I have fond memories of arriving in Balmora at night just as it started to rain - and finding myself out on the barren streets with the glow of lanterns in the distance was really the moment when I realized how great this game was going to be.
I remember walking into a shop, and liking how there was such an odd assortment of things - whilst I suppose Oblivion had its fair share of general stores, one thing I loved about Morrowind's traders is that lots of them had a very random assortment of things such as silverware and books, even if that wasn't what their shop specialized in. I felt like I was browsing a local flea market, finding little traces of culture interlaced into everything.
Even in Arena/Daggerfall, the cities were so vast that you were still overcome with this "overwhelming" feeling when you first made your way out into the world, as you did in Morrowind despite the fact these games had conventional medieval settings. I'm hoping that, with Skyrim's cities being so much larger in scope and NPCs having more to do, we'll have this wonderful feeling again. Finding entire streets lined with shops, bustling markets filled with characteristic NPCs, peculiar trinkets everywhere. Does anybody else really miss the colored lanterns from Morrowind, for example?
Whilst all the games have equally open worlds for the most part, Morrowind was interesting in that there was still some progression going on - you started out as a nobody with nobody to trust, but gradually you started to become familiar with what to expect from different factions and the Great Houses. There was some development on a personal level too, with the Dagoth Ur dream sequences and the gradual realization that you're the Nerevarine. In Oblivion, everything is just kind of there for you from the git-go. There's nothing wrong with that, but between the level scaling the urgency in the Main Quest it felt as if the world was a bit more static.
Morrowind plays better than Oblivion in a few places, but for the most part Oblivion is more fun "as a game". I can jump into Oblivion whenever I want, but I will only ever play Morrowind if I have several hours set aside and I have a compelling plan for my character set out before me. The way I see it, Morrowind was written to be a world first and a game second, which is why it can be quirky and inconsistent in places. Oblivion tried to be a bit more consistent, much to my disappointment.