Daggerfall did have a really cool in depth character creation. you had like 12 skills to choose, not to mention "advantages" and "disadvantages", and reputation. Not only that, but you "rolled" for your attributes score, and you could even sacrifice an attribute to buff up another. who needs intelligence if you are a barbaric warrior?
though for me, and i've thought about it kind of a lot, it goes:
New>Daggerfall>Morrwind=Oblivion
I think Morrowind and Oblivion are basically equal, if i had to pick one, I'd go with Morrowind, probably just because there wasn't a whole dungeon to go through before you pick your class like in Oblivion.
only played Arena once, I forget how the creation process worked.