Daggerfall has the most depth, but it made easy to create unbalanced characters. (I mean, with restrictions / disadvantages that don't make sense)
Morrowind system was perfect IMHO. Not only the system creation, but also the way it was implemented into the plot. The birth signs make more sense than the pros / cons as far as lore and role play are concerned.
The restrictions, advantages, and disadvantages were targeted more at hardcoe roleplaying people, which in some ways was Daggerfall's target audience (like the food and drink in the tavern which is for little purpose except roleplaying).
Perhaps your character is an avid worshipper of the Divines and has sworn off the use of Daedric equipment? Maybe he had a curse placed on him that stunts his magicka? Perhaps he's like Indiana Jones and when encountering undead he goes,
"Zombies. Why did it have to be zombies?" Sure, from a lore standpoint, birthsigns make a bit more sense (albeit they're a bit corny), but Daggerfall's system contributed greatly to rp possibilities and overall replayablity of the game itself.
I wonder if the Daggerfall's veterans who dislike Oblivion's dungeon also disliked Privateer's Hold ? I don't really see the problem with Oblivion's dungeon. It's an excellent tutorial. The problem was the main quest, not the dungeon.
I think the Oblivion dungeon is pretty decent in that it lets you try out various game concepts and equipment. In Privateer's Hold, most of the loot was scaled so you didn't always have the chance of finding a bow and arrows and then finding that you prefer them over your current weapon. It'd be nice if, right before exiting the dungeon, you got prompted if you wanted to change anything about your character, like at the end of Oblivion's dungeon.
My main complaint with Oblivion's was having to sit through all that dialog over and over again, even if it was skippable - rather tedious.