My favorite is Oblivion due to several factors.
1. I love the setting. I don't care what anyone else thinks, but I love how the vibrant and peaceful exterior of Cyrodiil contrasts with its dark, trap-infested, and sometimes dank underground areas. I love architecture of the Ayleids, The Imperial City, and the various other cities of Cyrodiil. Each has its own unique flavor, in my opinion. Arena and Daggerfall just didn't have much flavor to their cities, in my opinion, and Morrowind's, while having a few very distinctive architectural types, had few NPCs with any dialogue unique to them about the area. As a result, I honestly think I understand Oblivion's cities more. No matter how brief it is, nearly every named NPC in Oblivion has something unique to say and I just love the way the cities looks, the way they feel, the way NPCs go about their daily lives (complements that feeling of the city), the way Cyrodiil is a bit of menagerie of various Tamrielic cultures, and the way these cultures may interact with one another. For example, in Bruma, I've always sensed this profound feeling of lingering animosity between the Nords of the town and the Imperials of the town. The place has religion, architecture, culture, and races clashing and/or blending.
In Leyawiin, I also get a feeling of lingering animosity and ethnocentric attitudes. The swampy atmosphere of Leyawiin practically has racism protruding from the ground. The place was seized from Khajiiti citizens by Imperials, the Khajiit and Argonians hate each other, the ruling Imperials hate them both, the feeling is mutual, and the architecture reflects the decrepit atmosphere. Bravil is a cesspool full of cheap wooden architecture and criminals. The counts and countesses of Cyrodiil range from corrupt scoundrels to beloved visionaries, the place is a disunited, peacefully crumbling ruin of its former glory, and the citizens seem to have been modeled to reflect an understanding of the situation and situations of their respective cities. Cyrodiil is beautifully portrayed as the leader of the now-declining empire and I really sensed that in the gameworld. I love the history and lore of Oblivion, as well. In particular, Imperial-Ayleid relations, Reman Cyrodiil, Imperial-Akaviri relations, and the early figures of Cyrodiilic glory pique my interest.
2. I love the factions. Compared to previous Elder Scrolls games, they seem more in-depth, in my opinion. The Mages Guild is a political mess waiting to implode on itself and it has even been going against Cyrodiilic law with anti-necromancy disposition. The guild is torn in half on the issue and the whole event foreshadowed the eventual fall of the Mages Guild, from my inferences. The Dark Brotherhood have a very distinctive and mysterious atmosphere surrounding them and their storyline was really cool, too, in my opinion. I love the way the Thieves Guild hides themselves and tries to pretend as though it doesn't exist and the mystery behind the Gray Fox was something that kept me fascinated and with a feeling of suspense throughout the entire thing. Again, I liked the storyline, as well. The Fighters Guild wasn't very remarkable, though, in my opinion, but it was nice. I loved the Arena, though. The way I rose through the ranks, witnessed Owyn's hilarious dialogue and outgoing personality, lost the two friends I had throughout the questline at the end, and just plain felt like a gladiator made the whole thing very enjoyable for me.
3. I love Oblivion's quest structure. The quests just seem more diverse and more meaty than in previous Elder Scrolls games and the side quests, in particular, gave me some non faction-related fun. Lifting the Vale was just fantastic, in my opinion. No two side quests ever seemed the same and the faction quests were typically pretty unique, as well. The Daedric shrine quests were grade-A material and I was always very excited when I came upon a Daedric shrine or was given the location of one by some stranger I met in a city.
4. I love Oblivion's game mechanics more than those of previous Elder Scrolls games. The stealth system was just better than previous stealth systems no matter how you look at it, in my opinion, the magic-casting was fluid and well-done, the combat offered some excitement and variety to combat, the skills and related perks were implemented in a neat way, I love instantaneous fast-travel to any location I've been to before and thought Morrowind's was just broken and didn't do what fast-travel is supposed to do, I love being able to buy a house, and I love the alchemy system. I'm not a fan of the level-scaling, though.
5. I love the sense of immersion I get from the game. I know many would disagree, but I thought Oblivion was the most immersive game of the series. I've never been able to lose track of time or awareness of my surroundings more in any game than I have been able to in Oblivion. NPCs have lives, a newspaper is distributed actively by the Black Horse Courier, the people speak and speak unique things that no other NPC will speak of, I can break out of jail, rent a room at an inn in either a side or along a road, I can buy and ride a horse, I can sit down, I can mess around with physics, and I can see extending landscape that, even with Oblivion's now-dated graphics, look amazing, to me. The view I experienced when first exiting the Imperial Sewers comes to mind. Music matches the area, and I actually like the music. I didn't care much for Arena or Daggerfall's music and while I think Morrowind has a beautiful soundtrack, the same music gets played everywhere while Oblivion separates its music into town, explore, and dungeon tracks.
6. Lore: It was in past games in comparable volumes, but I've always enjoyed Oblivion's the most, to be honest:
Spoiler
1. http://www.uesp.net/wiki/Lore:A_Life_of_Uriel_Septim_VII
2. http://www.uesp.net/wiki/Lore:Rislav_The_Righteous
3. http://www.uesp.net/wiki/Lore:Ahzirr_Traajijazeri
4. http://www.uesp.net/wiki/Lore:History_of_the_Fighters_Guild
5. http://www.uesp.net/wiki/Lore:Fire_and_Darkness
6. http://www.uesp.net/wiki/Lore:The_Five_Tenets
7. http://www.uesp.net/wiki/Lore:Followers_of_the_Gray_Fox
8. http://www.uesp.net/wiki/Lore:Hiding_With_the_Shadow
9. http://www.uesp.net/wiki/Lore:Manifesto_Cyrodiil_Vampyrum
10. http://www.uesp.net/wiki/Lore:Necromancer%27s_Moon
11. http://www.uesp.net/wiki/Lore:Pension_of_the_Ancestor_Moth
12. http://www.uesp.net/wiki/Lore:Beggar
13. http://www.uesp.net/wiki/Lore:Thief
14. http://www.uesp.net/wiki/Lore:Warrior
15. http://www.uesp.net/wiki/Lore:King
16. http://www.uesp.net/wiki/Lore:The_Argonian_Account,_Book_1
17. http://www.uesp.net/wiki/Lore:The_Argonian_Account,_Book_2
18. http://www.uesp.net/wiki/Lore:The_Argonian_Account,_Book_3
19. http://www.uesp.net/wiki/Lore:The_Argonian_Account,_Book_4
20. http://www.uesp.net/wiki/Lore:Beggar_Prince
21. http://www.uesp.net/wiki/Lore:The_Exodus
22. http://www.uesp.net/wiki/Lore:Knightfall
23. http://www.uesp.net/wiki/Lore:Purloined_Shadows
24. http://www.uesp.net/wiki/Lore:The_Refugees
25. http://www.uesp.net/wiki/Lore:Thief_of_Virtue
26. http://www.uesp.net/wiki/Lore:The_Adabal-a
27. http://www.uesp.net/wiki/Lore:The_Amulet_of_Kings
28. http://www.uesp.net/wiki/Lore:Battle_of_Sancre_Tor
29. http://www.uesp.net/wiki/Lore:Before_the_Ages_of_Man
30. http://www.uesp.net/wiki/Lore:Cleansing_of_the_Fane
31. http://www.uesp.net/wiki/Lore:Daughter_of_the_Niben
32. http://www.uesp.net/wiki/Lore:Dwemer_History_and_Culture
33. http://www.uesp.net/wiki/Lore:Fall_of_Vitharn
34. http://www.uesp.net/wiki/Lore:The_Last_King_of_the_Ayleids
35. http://www.uesp.net/wiki/Lore:The_Legendary_Sancre_Tor
36. http://www.uesp.net/wiki/Lore:Lost_Histories_of_Tamriel
37. http://www.uesp.net/wiki/Lore:Remanada
38. http://www.uesp.net/wiki/Lore:The_Song_of_Pelinal,_v_1
39. http://www.uesp.net/wiki/Lore:The_Song_of_Pelinal,_v_2
40. http://www.uesp.net/wiki/Lore:The_Song_of_Pelinal,_v_3
41. http://www.uesp.net/wiki/Lore:The_Song_of_Pelinal,_v_4
42. http://www.uesp.net/wiki/Lore:The_Song_of_Pelinal,_v_5
43. http://www.uesp.net/wiki/Lore:The_Song_of_Pelinal,_v_6
44. http://www.uesp.net/wiki/Lore:The_Song_of_Pelinal,_v_7
45. http://www.uesp.net/wiki/Lore:Treatise_on_Ayleidic_Cities
46. http://www.uesp.net/wiki/Lore:Advances_in_Lock_Picking
47. http://www.uesp.net/wiki/Lore:Ayleid_Reference_Text
48. http://www.uesp.net/wiki/Lore:Bark_and_Sap
49. http://www.uesp.net/wiki/Lore:Calcinator_Treatise
50. http://www.uesp.net/wiki/Lore:De_Rerum_Dirennis
51. http://www.uesp.net/wiki/Lore:An_Elytra%27s_Life
52. http://www.uesp.net/wiki/Lore:From_Frog_to_Man
53. http://www.uesp.net/wiki/Lore:Fundaments_of_Alchemy
54. http://www.uesp.net/wiki/Lore:Heavy_Armor_Repair
55. http://www.uesp.net/wiki/Lore:History_of_Lock_Picking
56. http://www.uesp.net/wiki/Lore:Immortal_Blood
57. http://www.uesp.net/wiki/Lore:Light_Armor_Repair
58. http://www.uesp.net/wiki/Lore:Liminal_Bridges
59. http://www.uesp.net/wiki/Lore:Lithnilian%27s_Research_Notes
60. http://www.uesp.net/wiki/Lore:The_Liturgy_of_Affliction
61. http://www.uesp.net/wiki/Lore:The_Living_Woods
62. http://www.uesp.net/wiki/Lore:Mace_Etiquette
63. http://www.uesp.net/wiki/Lore:Magic_from_the_Sky
64. http://www.uesp.net/wiki/Lore:Manual_of_Armor
65. http://www.uesp.net/wiki/Lore:Manual_of_Arms
66. http://www.uesp.net/wiki/Lore:Manual_of_Spellcraft
67. http://www.uesp.net/wiki/Lore:Manual_of_Xedilian
68. http://www.uesp.net/wiki/Lore:The_Predecessors
69. http://www.uesp.net/wiki/Lore:Proper_Lock_Design
70. http://www.uesp.net/wiki/Lore:Reality_%26_Other_Falsehoods
71. http://www.uesp.net/wiki/Lore:Saints_and_Seducers
72. http://www.uesp.net/wiki/Lore:The_Shivering_Apothecary
73. http://www.uesp.net/wiki/Lore:The_Shivering_Bestiary
74. http://www.uesp.net/wiki/Lore:Souls,_Black_and_White
75. http://www.uesp.net/wiki/Lore:The_Standing_Stones
76. http://www.uesp.net/wiki/Lore:Varieties_of_Daedra
77. http://www.uesp.net/wiki/Lore:Way_of_the_Exposed_Palm
78. http://www.uesp.net/wiki/Lore:Agnar%27s_Journal
79. http://www.uesp.net/wiki/Lore:Amantius_Allectus%27_Diary
80. http://www.uesp.net/wiki/Lore:Ancotar%27s_Journal
81. http://www.uesp.net/wiki/Lore:A_Bloody_Journal
82. http://www.uesp.net/wiki/Lore:Brenus_Astis%27_Journal
83. http://www.uesp.net/wiki/Lore:Cap%27n_Dugal%27s_Journal
84. http://www.uesp.net/wiki/Lore:Cindanwe%27s_Notebook
85. http://www.uesp.net/wiki/Lore:Dar-Ma%27s_Diary
86. http://www.uesp.net/wiki/Lore:Diary_of_Springheel_Jak
87. http://www.uesp.net/wiki/Lore:The_Doors_of_Oblivion
88. http://www.uesp.net/wiki/Lore:Drothan%27s_Field_Journal
89. http://www.uesp.net/wiki/Lore:Drothan%27s_Journal
90. http://www.uesp.net/wiki/Lore:Father_of_the_Niben
91. http://www.uesp.net/wiki/Lore:Frostcrag_Spire_Memoirs
92. http://www.uesp.net/wiki/Lore:Gelebourne%27s_Journal
93. http://www.uesp.net/wiki/Lore:Greywyn%27s_Journal
94. http://www.uesp.net/wiki/Lore:Grommok%27s_Journal
95. http://www.uesp.net/wiki/Lore:Journal_of_the_Lord_Lovidicus
96. http://www.uesp.net/wiki/Lore:Log_of_the_Emma_May
97. http://www.uesp.net/wiki/Lore:The_Path_of_Transcendence
98. http://www.uesp.net/wiki/Lore:Ramblings_of_Audens_Avidius
99. http://www.uesp.net/wiki/Lore:The_Red_Kitchen_Reader
100. http://www.uesp.net/wiki/Lore:Sacred_Witness
101. http://www.uesp.net/wiki/Lore:Sir_Amiel%27s_Journal
102. http://www.uesp.net/wiki/Lore:Traelius%27_Journal
103. http://www.uesp.net/wiki/Lore:Traitor%27s_Diary
104. http://www.uesp.net/wiki/Lore:Macabre_Manifest
105. http://www.uesp.net/wiki/Lore:Report:_Disaster_at_Ionith
106. http://www.uesp.net/wiki/Lore:The_Warp_in_the_West_(book)
107. http://www.uesp.net/wiki/Lore:Mysterium_Xarxes
108. http://www.uesp.net/wiki/Lore:Tome_of_Unlife
109. http://www.uesp.net/wiki/Lore:Legend_of_Krately_House
110. http://www.uesp.net/wiki/Lore:Mannimarco,_King_of_Worms
111. http://www.uesp.net/wiki/Lore:The_Ravings_of_Fenroy
112. http://www.uesp.net/wiki/Lore:Song_of_Hrormir
113. http://www.uesp.net/wiki/Lore:The_Black_Arts_On_Trial
114. http://www.uesp.net/wiki/Lore:Myth_or_Menace%3F
115. http://www.uesp.net/wiki/Lore:16_Accords_of_Madness,_v._VI
116. http://www.uesp.net/wiki/Lore:16_Accords_of_Madness,_v._IX
117. http://www.uesp.net/wiki/Lore:16_Accords_of_Madness,_v._XII
118. http://www.uesp.net/wiki/Lore:Bible_of_the_Deep_Ones
119. http://www.uesp.net/wiki/Lore:The_Blessings_of_Sheogorath
120. http://www.uesp.net/wiki/Lore:Divining_the_Elder_Scolls
121. http://www.uesp.net/wiki/Lore:Heretical_Thoughts
122. http://www.uesp.net/wiki/Lore:Modern_Heretics
123. http://www.uesp.net/wiki/Lore:Mythic_Dawn_Commentaries_1
124. http://www.uesp.net/wiki/Lore:Mythic_Dawn_Commentaries_2
125. http://www.uesp.net/wiki/Lore:Mythic_Dawn_Commentaries_3
126. http://www.uesp.net/wiki/Lore:Mythic_Dawn_Commentaries_4
127. http://www.uesp.net/wiki/Lore:Myths_of_Sheogorath
128. http://www.uesp.net/wiki/Lore:Opusculus_Lamae_Bal_ta_Mezzamortie
129. http://www.uesp.net/wiki/Lore:The_Prophet_Arden-Sul
130. http://www.uesp.net/wiki/Lore:Shezarr_and_the_Divines
131. http://www.uesp.net/wiki/Lore:Ten_Commands:_Nine_Divines
132. http://www.uesp.net/wiki/Lore:Trials_of_St._Alessia
133. http://www.uesp.net/wiki/Lore:Glories_and_Laments
134. http://www.uesp.net/wiki/Lore:Guide_to_Anvil
135. http://www.uesp.net/wiki/Lore:Guide_to_Bravil
136. http://www.uesp.net/wiki/Lore:Guide_to_Bruma
137. http://www.uesp.net/wiki/Lore:Guide_to_Cheydinhal
138. http://www.uesp.net/wiki/Lore:Guide_to_Chorrol
139. http://www.uesp.net/wiki/Lore:Guide_to_the_Imperial_City
140. http://www.uesp.net/wiki/Lore:Guide_to_Leyawiin
141. http://www.uesp.net/wiki/Lore:Guide_to_New_Sheoth
142. http://www.uesp.net/wiki/Lore:Guide_to_Skingrad