While they have much in common, they are designed for different playing styles: MW based almost entirely on the skills of the character, OB based more heavily on your finger dexterity as a player. If you start with either game, then it becomes the "norm" by which the other game is judged. Since they are so different, the forum is heavily split between the FPS and RP players.
The former MW player will hate how you don't need to have ANY skill in Lockpicking to pick the most difficult locks in OB, or any skill in a particular field to become its Guildmaster, and that you can't even attempt other tasks 1 measly point above your skill level, yet can't possibly fail at the same task once you gain that point. OB's level of challenge is blatantly matched exactly to your character, so both the challenge and the rewards are pretty much the same no matter where you go or what you do. All that, along with the removal or "consolidation" of many popular spell effects and weapons types, and the simplified "console-style" menus will leave a MW player feeling that the game is "dumbed down" and pointless. The argument has been made repeatedly that Morrowind's "artistic vision" is more exotic and compelling, even though Oblivion's more "generic" artistic execution is much more technically advanced. Then again, OB will give you an occasional breathtaking "Oh Wow!" moment as you view the scenery from a good vantage point, whereas MW's limited view distance and fog (to limit the amount of graphics earlier computers needed to render) hides the distant hills and scenery.
Former Oblivion players will hate the blocky landscape and angular looking objects (and NPCs) in MW due to the old graphics, the near-constant failure at most tasks at low levels, the crude combat, the near-inevitability of death if you enter certain places at low level, and having to read all those lines of text in conversations. Trying to find places after being given "poor directions" in MW frustrates a lot of OB players who have gotten used to having a big arrow on your screen pointing right to the next quest target. The limited use of levelled adversaries and lack of respawning NPCs in dungeons and caves in MW means that you will eventually run out of "difficult" opponents beyond a certain point, if you continue to play beyond the Main Quest.
Maybe it's better to try Daggerfall first, or just consider MW and OB two entirely seperate games with a common "history". They're all great games in their own right, but they don't "compare" easily to each other. Another way to view it is: OB is a much better "casual hack and slash game", MW is a deeper and grittier "world to live in". MW with a few good graphics mods can come pretty close to OB in terms of viewability, although there are still a few points where OB's later technology can't be matched by the older game. Several of the most popular mods for OB are designed to make the game play more like MW.