My first Elder scrolls game was Daggerfall which I hated with the passion of a thousand blazing suns. I never would have picked up another TES game except my wife got me Redguard for Christmas. I loved it and was very hyped for Morrowind. I 've loved Morrwind , Oblivion and now Skyrim with the same bazing passion I hated Daggerfall if not more. I miss a few things from each previous game but in general I think they're improving as the new ones come out. Morrowind , Oblivion and Skyrim are all great games though and Skyrim is problably my favorite now becuase its fresher and newer to me.

MW was my 1st and my favourite (although thats with a lot of mods) but Skyrim comes a close 2nd.
I don't think its because it was my 1st that I like MW best, I'd played other CRPGs before it and prefer MW to them.
I also don't think I prefer it because of nostalgia, I was still playing and enjoying MW up until I got Skyrim, but when I tried to play Oblivion again last year I didn't enjoy it at all.

I think that the first TES you play will have the most impact on you. That doesn't necessarily mean you'd think it's better, but it might. I for one was amazed by oblivion. Mind-blown. Not so much with Skyrim, but it's a better game in some aspects.