Well, Oblivion is the onyl one I have played enough to rate the Quests, I have not played Morrowind all that much, but here is my list anyway.
1) The entire Knights of the Nine Questline (excluding the Pilgrimage): It was fun to become the leader of a holy order who fight's evil and defends honour.
2) The entire Oblivion Main Questline: Dispite being a little cheesy at times, the overall quest was fun and challaging with a good story.
3) The Pilgrimage: I have to have this one on it's own. It was so fun traveling to a diffrent shrines to each Divine. You get to see diffrent parts of Cyrodiil and it honestly feels like an adventure... Providing you don't fast travel or rush.
4) The Battle for Castle Kvatch: I enjoied helping the
Spoiler survivors fight back to regain Kvatch after the Oblivion Gate send the Daedra to attack the town.
5) Seeking your Roots: A fun long quest where you get to collect plants. I found this really fun travling all over Cryodiil looking for these little babies. I like collecting things.