Arena and Daggefall can feel a bit too archaic and clumsy for some players. But there's a lot of great fun to be had there if you get into them.
Daggerfall being the better experience.
Morrowind is a big fan favourite, as it was made during the RPG boom of the mid 90s-early 2000s when many of the classic PC games got made.
It does require a bit of patience on your part. It's more difficult, slow and complicated than newer games.
It's what I consider to be the peak of the series so far.
Oblivion and Skyrim are easy to just jump right in and start playing. Skyrim especially is rather casual compared to the older games.
I'd suggest installing all of them, and testing each one out. See which one grabs you first.
And keep in mind that the games have the benefit of community made patches, programs and mods to add to the experience.
Not true for many people.
Many people on the forums have had no problems starting with Skyrim and going back to older games. I see it all the time in the Morrowind forums.