The Journal. It may sound silly, but the fact that the journal was just a collection of your character's notes and a few highlighted terms as a sort of pseudo-glossary gave a real sense of investigation to some of the harder quests. Its not just about Morrowind not holding hands or anything, it's more than that. Challenge is fun, but it was different in Morrowind, when they said "hey, so-and-so is missing, please go find them" you were actually going to have to do some searching around! Man I miss that. I'd spend hours pouring over my notes to see which quests I should return to now that I've explored a bit more, now that I'm a little more powerful, now that I understand how the politics work a little better.
Oh, yes, I had almost forgot about that one.
The journal in Morrowind felt much more like a diary of my adventures in Vvardenfell, whereas in Oblivion it was sort of a throwaway thing. I remember sometimes not even playing the game, but reading my journal for half an hour and reminiscing about my adventures.
Visiting Ahnassi on the anniversary of when we met, to give her a diamond. ( Wich I put on her nightstand.) The journal also logged dates and I found that much more immersive and interesting.
I hope Skyrim's journal will have that diary feel again.