Okay, time for me to put in my input:
I rank the games as Daggerfall > Oblivion > Morrowind > Arena.
I started into the series with Arena(it was free), then I got Oblivion, then Morrowind, then Daggerfall.
I have rated them in the order I find myself playing the most.
I do not see where people get the "Morrowind has teh epic storylinez", as I find it boring and time-consuming, and the fact Caius Cosades tells me to bugger off until I'm a higher level as soon as I report to him. I then proceed to forget about him until I am owner of at least one guild (Imperial Legion or Thieves Guild). Why do I have to run random fetch quests taking me all across the island without any means of decent fast-travel just to get a few books? I get turned off immediately after the get the Cube quest (though I never have trouble finding it). I find the guild advancement system ridiculous, as one can go from nobody to owner of a guild in a few months with quests that do not really seem to advance the state of the guild very much until the final stretch.
Part of the problem I have with morrowind is the lack of a fast travel system. I for one do NOT like having to waste time hacking through cliff racers any time I want to go somewhere I need to visit several times, and walking takes too long, and running drains fatigue while taking too long. The combat system is horrible, and I find myself disabling the "Use Best Attack" option just to liven up the appearance of combat, even if it does cause me to do much less DPS. Also, I find the landscape
too alien for my tastes. My final complaint about Morrowind is the way it discourages the freelance adventurer aspect. You
have to join a guild to find dungeons to crawl, and the wilderness life is rather bland despite being alien. I hear Solstheim gives the sort of world I want, but I can never reach a high enough level to survive there because Vvardenfell just bores me to tears.
Oblivion, I find myself playing over and over, as it takes after Daggerfall more faithfully than Morrowind did (with the exception of Solsthiem). Though I do not like the rushed feel of the MQ, I find it more interesting than Morrowind's, even if it is more linear. Also, I like how I don't have to associate myself with a guild to enjoy the game, as there is enough to do out in the wilderness and numerous dungeons waiting to be pillaged. They are also more fun to be mobile in, with the deathtraps (not enough of nor diverse enough, unfortunately) and more dynamic terrain. The enhancements to jumping I also enjoy, even if it's not quite realistic. Too bad the AI wasn't programmed to handle the terrain as well as I could. The presence of fast-travel made the game less tedious, though it was still rewarding and fun not to fast-travel all the time.
The world leveling to my character, corrected by Francesco's mod (I hate OOO's morrowind-esque world levelling system) makes it a bit more friendly to explore, and I usually reach a high enough level quick enough that the world doesn't feel like a rats-stunted scamps-and-bandits only world, so I face enemies that are sometimes challenging, sometimes easy, but almost always fun. Finding a skeleton guardian at lvl 1 can lead to some awesome action, but finding 3 I break out the console's "kill" command on all but one, or I just run away. Not like they drop any decent loot. I find I automatically pace myself in my questing, so I never rush the main or any guild quests, and so I feel like I earn the prestige.
Daggerfall is just plain fun. As long as you have a decent memory for the quests (because the log loves to be empty), the main quest is never disengaged, while all the while you can spend days or weeks looting a single dungeon. The world is leveled to the character like in Oblivion, so though I sometimes find challenging encounters, I'm never too far in over my head. I do somewhat regret abusing the character generation system, as I am now lvl 7 and have all but luck, willpower, and intellect maxed out (I love being a werewolf, and starting with every stat at 80+), with an insane amount of HP. Even walking through town is nice, as I can either weave through the narrow streets on foot or horse, or climb a building and jump from roof to roof. The guilds are a convienience, not a chore, so I am never bored.
The MQ of Daggerfall never allows you to get entirely removed (unless you break it), because as you progress, the game takes the initiative to get the player's attention with remarkably nondescript couriers and letters telling you what to do. The MQ is also somewhat non-linear, as it involves 3 seperate aspects: Finding a letter, laying a vengeful spirit to rest, and later finding the Mantella to bring back the big stompy robot for the Empire, Mannimarco, the Underking, or any of the powers of the Illiac bay.