Lore:
Morrowind/Oblivion
Daggerfall
While Morrowind was a great leap forward thanks to what it revealed about metaphysics, Oblivion also added new and interesting lore that filled previous voids, and can't really be expected to make a leap forward on questions already answered.
It Wasn't just that morrowind filled in some gaps, you learn about dwemer history (While in Oblivion i learned NADA about Aylieds), and the entire MQ was built around the lore. In Oblivion i saw none of that, nearly zero lore building aspects except for certain key points in side quests.
Story making for fun gameplay/vice versa:
Oblivion
Daggerfall
Morrowind
Morrowind excessively used padding in the latter half of it's MQ in ways that Oblivion did not, resulting in boring gameplay as one goes around fufilling unintersting fetch quests and occassionally murdering political leaders just so Four tribes can name you Nerevarine and three houses name you Hortator. Daggerfall's massive dungeons wore my patience thin on some occassions, but the huge dungeons was always something the game offered so one can't complain too much for them being an important part of the MQ.
HOW could you complain about Morrowinds padding during later section of the Main Quests and rate Oblivion as the top story for fun/gameplay wise when the entire MQ for oblivion was padded, with heaps of Oblivion gates. Even during the fourth and fifth trials in the Morrowind MQ (Hortator and Neravarine) the quests still felt different. after my third Oblivion gate i restarted the entire game and didn't touch the MQ for months.
Modding:
Morrowind
Oblivion
From my personal experience, while you can do much more impressive things with oblivion, Morrowind handled a bad mod better and seemed to remained stable with more ease than my oblivion install. Ultimately, I'll take some limitations rather than risk CTD's when I cast a spell.
Ultimately, I'd have to say that Daggerfall provided the best open-world (you truly never ran out of things to do, the one thing open world games must do to be truly great in my book), Morrowind would have made a good book, and Oblivion was the most fun to play.
one thing, have you seen Morrowind 2011? the BEST mod compilation across every game ever made, i looks sooo good