Played:
Morrowind
Oblivion
Skyrim

Preference:
Morrowind
Oblivion
Skyrim

Played: Morrowind -> Oblivion -> Skyrim
Favourite: Skyrim -> Oblivion -> Morrowind

Order Bought:
Morrowind
Oblivion
Skyrim
Daggerfall

Preference (unmodded):
Morrowind
Skyrim
Oblivion
Daggerfall

Preference (modded):
Morrowind
Oblivion
Skyrim (for the minute)

To be perfectly fair to Daggerfall, the controls don't work very well for me, so I haven't played it enough to give it a proper judgement.

I hated Oblivion when it came out (I bought into the hype big time and was very disillusioned after a while playing it), but it's kind of funny - playing Skyrim has definitely mellowed my opinion of it. Skyrim is so bleak and austere that playing Oblivion was a refreshing change.

Skyrim's a strange, hostile land that fate has brought me to. Oblivion is a peaceful, calming holiday. Morrowind is home.

I played them in this order:

Morrowind
Oblivion
Arena
Daggerfall
Skyrim

I would have preferred to play them in chronological order, which would be

Arena
Daggerfall
Morrowind
Oblivion
Skyrim

I bought and played them in this order:
Arena
Daggerfall
Battlespire (lots of crashes - sadly, never got it to work long enough to make it enjoyable)
Redguard (first 'real' Dragon in TES!)
Morrowind
Oblivion
Skyrim

Order of Preference. Wow, that's pretty difficult for me to do and would probably change based on what game I am currently playing... I guess I'll base it one my initial reaction/excitement:

Morrowind - This game felt so fleshed out to me. Smaller than previous games, but everything was so well crafted. MODABILITY! To a creative, artistic mind, this game was "winning". It had a few flaws; npc faces were not the best (improved with mods), static npcs, smaller world, dungeons were not very big (a few exceptions) and combat was a little awkward, but all in all a beautiful RPG.
Daggerfall - Improved upon the premise from Arena, seemed limitless, regional crime, hundreds of cities (some huge), Vampirism, Lycanthropy, HUGE dungeons with a 3d mapping system (because good God, you really needed it!), holidays, realistic weather, day-night cycles, constellations... I could go on and on.
Arena - Few things can compare to my reaction to playing this game for the first time in the early 90s. It was just 'wow.'

I just realized I can't finish the list. It's not really fair to fellow Oblivion-enthusiasts to list it at the bottom. The mod community made it so much more than the game was at release and I probably played it more than any other Elder Scrolls game, followed close behind by Daggerfall and Morrowind. The main reason it loses points is because of the generic 'friendly' atmosphere. More family friendly for sure, but less appealing to my more 'gothic' tastes. At least modding for this game really flourished.

I just got Skyrim a few weeks ago. I am loving it and it's still too early to pass any final judgments on it for my part. It changed alot from previous titles, less 'options' in general, but some new functionality and features are great and shows that Bethesda really paid attention to its mod community for ideas. Graphically, goes without saying that it is a gorgeous game world and probably has the most cohesive and palpable "atmosphere" of any of the titles (Morrowind was good at this, too but technologically less advanced, of course) The other games get a perhaps unfair amount of 'nostalgia' points for me, but had I played Skyrim first, maybe some of them would not have been as playable or fun.