I think it all depends on how patient you are when learning a new game, as well as how 'hard-core' of an RPG player you are.
If you come from playing PnP RPGs, then you would probably enjoy Daggerfall the most. I've played very little of it myself, but from what I have played I can tell you that it is a fantastic game. However, the graphics are quite dated, so if graphics are a big deal to you, then you probably won't like it. Also, it has the steepest learning curve when compared with Morrowind or Oblivion, so be prepared to invest a good deal of time learning how the game works, particularly if you are brand new to the series.
On the other hand, if your background in gaming is primarily action titles and shooters, then Oblivion is probably more your speed as it is easier than either Daggerfall or Morrowind to learn. The combat and magic systems are controlled more by the player's reflexes than by your character's stats, which is why some consider it more of a sand-box action title than a true RPG. That said, it would definitely be the easiest game to start with if you are looking to get your feet wet. Only caveat would be that it might make it harder to transition to Daggerfall or Morrowind once you get used to Oblivion. There is a quite a bit of hand-holding in Oblivion, whereas Morrowind, and especially Daggerfall, can be almost brutal by comparison. Also, Oblivion's graphics are generally accepted as being 'prettier' (read: newer), though that is mostly a matter of personal opinion and taste.
Morrowind is like a compromise between Daggerfall and Oblivion. It isn't nearly as involved as Daggerfall, yet it is a good deal more complex than Oblivion. While the graphics aren't as bright and shiny as Oblivion's, it is easier on the eyes than Daggerfall. IMHO, it has the best blend of traditional PnP RPG characteristics, visuals, and game mechanics of the three games. To summarize, if I were to rate the three games on overall content, graphics, and difficulty, it would look like this*:
DaggerfallContent: 10
Graphics: 2
Difficulty: 9
MorrowindContent: 7
Graphics: 6
Difficulty: 7
OblivionContent: 5
Graphics: 8
Difficulty: 4
*these numbers are, of course, subjective