It's several years older than Oblivion, so obviously it's going to look more dated. Animations in particular are one of the weaker points of the game, and you have a very limited view distance compared to Oblivion.
http://nerdtrek.com/wp-content/uploads/2011/11/Morrowind-Screenshot.jpg
If you have a PC I recommend getting the PC version. Morrowind is over 10 years old now so even a fairly weak PC should be able to run it. You'll probably get faster loading times that way. I think the view distance is also slightly shorter on the Xbox.
If you do have a great computer however, you can make it look like http://www.youtube.com/watch?v=d69wYi3_LWo.