In morrowind, everything was exotic and unique, while keeping to the style of custom RPGs, which I liked. I always wanted to explore new crazy things in the world, as well as the interesting quests and NPCs.
Then oblivion came and shattered that. No unique monsters (besides daedra, I guess, but even then they're scarce, and the oblivion world was highly repetitive), No real unique places, nothing. Monsters turned into things you'd expect to see in your average forest, and it just seemed so boring and dull.
Perhaps the thing that made me love morrowind is, oddly enough, the fact that it didn't feel like the real world, or just every other 'Ye olden days' RPGs. It was unique, immersive, had quality and structure that just made you want to dive in and unravel the next thread of it's world. While as in Oblivion, I could walk into any cave and expect to see the same things I've seen in two other caves on the other side of the world. Level scaling ruined this even further.
I'm not going by gameplay aspects at all on this one, surprisingly. I'm just thinking about what made Morrowind great. Oblivion somewhat improved in the Shivering Isles, but even then it got repetitive, and I got used to everything. "Gasp, what!? How do you get used to a madworld!?" When the developers don't create enough immersion and uniqueness.
Fallout 3 improved on this, having a retro 50's idealism, having unique places and creatures, and more immersion. Characters even had unique personalities, where oblivion lacked.
Perhaps I'm just rambling on about things that have been mentioned 200 times before, but I've just been thinking about it. hardcoe bethesda fans, most commonly, liked Morrowind more than Oblivion, and Fallout 3 more than Oblivion. I don't know if it's just because of gameplay, or if it's the reasons I mentioned above, but this is just what I feel.