For me, it's the fact that there's just so much dialogue and lore. Every little thing in the game has at least a paragraph of dialogue and lore attached to it. Like someone said in a thread in here, asking about the saints of the Temple gives you a paragraph about each saint to read! In Skyrim, the entire dialogue of a character is usually less than that one paragraph you're given about one minuscule subject in Morrowind. I can replay things many times in Morrowind, because there's so much stuff associated with every quest that you can't possibly remember every detail, and thus it becomes interesting and "fresh" again after a while.
Definitely agree. I've played Morrowind since I was a little boy on the Xbox up until about ten seconds ago when I decided to take a break from my new character to check out the forums, and I still don't feel like I've seen even half of what there is to see. And if I ever reach that point, there are mods that are around or in production that are of just as high quality as Bethesda's work, since all you need to make a compelling quest chain is a good writer, and not a dozen professional voice actors.
I also feel like there's a ton more to do, and the game's pacing is alot better. In Skyrim, after two missions in the Companions I'm one of the inner circle of leaders. In Morrowind, I'm an 'apprentice' and most of the better guild trainers/officers won't give me the time of day. Likewise, when I went to visit Caius Cosades he didn't tell me to go slay a dragon, he told me that I looked like a noob, gave me 200 gold, pointed me to the nearest trainer, and told me to come back when I was more of a badass, lol. It's too easy to get through quests in Skyrim, and everything is so much shorter than in Morrowind.
Skyrim, and Oblivion too, both kind of throw you right into the middle of things, get your blood pumping, 'Hurry up and save the world!' And interestingly enough, despite the radiant A.I. that makes NPC's do actions without your input and 'live' out their lives, Morrowind feels more like an actual world to me. It's not waiting for me to come and save it - and in alot of cases the world will chew me and up and spit me out before I even have time to yell 'Dovahkiin'.