Part of the roleplaying experience of Morrowind was feeling like a part of the world. However, Oblivion's world building (mostly procedurally generated), as well as that god-awful level scaling mechanic turned the game into a formulaic experience. In Morrowind, there were [many] times where I actually felt like I was part of the world. I could exit Rethan manor and cruise the streets of Balmora as Hlaalu grandmaster, and actually picture to myself "These are my people", because how the game so effectively wove many detailed aspects of every day life into their game. Though the world was actually static, the details brought out a sense of life and believability that, by contrast, was totally missing in Oblivion. Oblivion felt, from the moment Uriel Septim VII spoke, to the last day I played it, a game through and through. Thoroughly entertaining, but I could never have that deep connection, because they sold the world short of the details that bind it together as an 'actual' place.
Fallout 3 recaptured that. Even though a lot of the details are sketchy at best (For example, there's no way the entirety of Megaon subsides off scavenged food or a single trader) it still effectively captured a sense of unity. The game set itself up so well too. Being a Vault-dweller, you grew up and knew pretty much what we as real humans know, and stepping out into the wasteland for the first time, you learn with your character. That creates an amazing and immersive connection. Learning the mundane little details of life in this stranger world was not unique to Fallout, but also part of the experience in Morrowind. Just like you learn the Caravan trade routes, and where to find clean(ish) water in Fallout, you learn about the Egg Mining operations, the oppressive imperial laws regarding trade, and all sorts of other details that help suspend disbelief. Even their Fast Travel system is explained as an every-day norm for the inhabitants, unlike Oblivion, where it's just a menu and "Poof".
Anyway, I'm starting to ramble. My main point is, you need to look at RPG mechanics, particularly character development, beyond your own character. As Todd Howard says, the actual main character of all their games, is the world itself, and Oblivion[Cyrodiil] as a character, was poorly realized.
This should be quoted on every page of this thread, I have nothing more to add. :clap: