Morrowind feeling lonely and alien is what made the atmosphere so much better than Oblivions, it made me fell like a total stranger dropped in a distant land and that is what was intended. Oblivion lacked alot in the atmosphere deparrtment IMO, it was a great game don't get me wrong I play it way more often than Morrowind and it did have it's highlights but the whole area feels too generic. For example in Morrowind you could be swarmed by a pack of nix hounds (creepy reptilian insect dog) on your (slow) travels, but in oblivion you get attacked by a lets say a wolf, which is far less interesting because well, I can see wolves and deer in real life so it doesn't draw me in nearly as much as alien dog insects. That and you could become a practical god (and kill a few of 'em).
Anyway to the positives of Oblivion; the weather system was great, it made me feel like I was really standing in the rain and that I had to take shelter. The combat is way more immersive requiring at least a little thought and strategy unlike morrowind where you just kept clicking and clicking and clicking. The NPCs were good because they walk around and have conversations and do their thing like a real person would do even if their dialogue was limited and generic. There's probably alot more things I like that add to the atmosphere that I'm forgetting, but I'm not going to list them all.