Darggeer Fall,
their were more Armor types (10x materials) & Peices (slots). Like you had 2 shoulder slots.. one could be Orcish other Dedric .. same for wrist / bracers & braclets ect ect .. (oh yea Dedric use too be red armor btw, was a cooler )
Also their were Cloaks, robes, shirts, pants & Vales ect ect. these could be worn over and under armor.. (witch could be magic as well )
But formost ..CLIMBING, CLIMBING, CLIMBING (& Levatation ) really Change how A game playsout ..Oblivion was A fun game but really was not the game with out Levatation, Morrowind had the Lev .. but their was no climbing or need too (was some mad crazy jummping skill tho)
Banks, Ships and carts (Yes you could own a boat, also your horse could have a Cart .. too hall your loots ) & banks would Loan money and you would have too play it back with in X days.. if you did not the guards would be after you (HAULT, HUALT)
Morrowind,
Now they might of had this in dagger fall .. but I dont rember it - teleporting, you could mark a spot and go back their , also were quest necklesse that would teleport you too they nearest church places ect...
Mass transportation (big bug bus )
this is all I could think of for now .. but anyhow .. feel free too add what you miss .. or troll me .