If you have Game of the Year edition (abbreviated as GOTY) then you don't need any official patches.
If you have the standard game, plus both expansion (but not labeled as GOTY) then you'll want to install the Bloodmoon patch last.
You can find the Bloodmoon patch http://web.archive.org/web/20080331103226/www.elderscrolls.com/downloads/updates_patches.htm. Scroll down to find it. (note that there is a standard one, and a European version. Use the one relative to you.)
For unofficial patches, it is highly recommended you install the http://www.tesnexus.com/downloads/file.php?id=19510 and the Patch Project.
There are a few different versions of the Patch Project, but the most stable version is currently the one that BTB edited. Found at the top of the page, http://btb2.free.fr/morrowind.html
Both of the unofficial patches are respected by the community and won't break your game, and can be installed in any order.
Need more info on Morrowind for the PC? http://www.gamesas.com/index.php?/topic/1060141-mod-recommendations-for-new-players/page__p__15392814#entry15392814 is a good thread to help you get your bearings.