The older games out perform Skyrim in many ways and Skyrim out performs them in some. I'm greatly enjoying Skyrim but I doubt I will put as many hours into it as the last two games, yet at the same time I feel like Skyrim will be the only game I will ever manage to finish 100% testing every single character type possible.
I wasn't even able to make the kind of character I wanted after all in Skyrim due to the lack of spells. But Skyrim is still a great game, it's just not "as" good.
Will be playing some more Morrowind and possibly start Arena after I finish Skyrim.
Edit: Just wanted to remind everyone that what I find to be a strong point for a game may not be the same think others look towards when they think "woah, this game is good", different people with different opinions and all that.
Well, we don't even have mods or official DLC yet, so don't judge what your experience with Skyrim will be quite yet, right?

I mean, the game hasn't even been out a month yet, and won't be out in Japan for a few days.
Skyrim is unbelievably amazing. For me, it has (almost) what every game needs. It has a sense of adventure, good conversations, choices and consequences in quests, one of the best soundtracks I've heard in a game (Morrowind had an amazing soundtrack as well). I've had amazing experiences playing Skyrim.
Skyrim includes a lot of Morrowind's soundtrack, perhaps even all of it. I have heard a lot of Morrowind music in Skyrim (and that's not a bad thing, of course).