I was able to get really immersed in Morrowind. It was a new UNIQUE environment with unique factions and characters and history. If I wanted to travel around I had to figure out how best to do so. Long walks, figuring out silt strider routes, figuring out boat routes.
In Oblivion (IMO) the environment was generic fantasy, the factions were generic fantasy, the characters and history were often generic fantasy. There was no special travel method there was only magical teleporting.
From all of that, I'd argue that you're a fan of Morrowind rather than a fan of the overall series. Daggerfall and Arena both had generic fantasy environments, generic fantasy factions, generic fantasy characters and history, and "magical teleporting" as the exclusive means of travel. Something I think most people don't really understand is that Morrowind, and not Oblivion, is the departure from the series on all of those points. That's still fine and all, but... well, it seems odd to get mad at the "new" fans of the series for liking elements that every game in the series except the one you enjoy have in common. Not saying it's necessarily you doing that, but that's still pretty common. Case in point being, as an example, Sir-Stabs-Alot, who specifically complains about the fans that Oblivion brought in while not realizing any of what I just said.
I'm fine with people liking or disliking things about the games in the series, and liking or disliking particular entries in the series. I just find it ridiculous when people complain about Oblivion's fans on the grounds that (in a lot of ways) they like things that were standard for the series before Morrowind came out.
EDIT: I guess what I'm saying is... well, people use the excuse that Morrowind fans act that way toward Oblivion fans because that's what people will always do when a new game comes out and that they're just upset that the series' direction was changed to appeal to those people, but... well, fans of the older titles who don't like Morrowind (right here, hi) have far more reason to act this way given what Morrowind did with the series, and yet we still (in blunt terms) don't treat Morrowind fans like slopsvcking moron trash. It's not rare to find an older fan who talks about the older entries in the series in far nicer terms than the Morrowind or Oblivion, but it is pretty rare to find those older fans outright insulting the intelligence and competency of Morrowind's fans as what's apparently little more than an attempt to stroke their own ego.