Out of every Elder Scrolls game, which would you say has the best story? For me, while I only played Oblivion and Skyrim, I would have to say Oblivion.

They were all weak in there own way. None were all that great, but Morrowind might win by tiny bit.
-Morrowind
-Skyrim
-Daggerfall
-Oblivion

I think Morrowind has the best story (of Morrowind, Oblivion and Skyrim)

I only played Morrowind and Oblivion, but perferred Morrowind's storyline to Oblivion's. Oblivion's background story was actually decent, but poorly paced and implemented in the game. Morrowind's story kept you guessing as to the motives and truth behind the various "versions" of the story you heard up until (and past) the ending. Oblivion put everything out on the table in the tutorial starting sequence, other than a very nice but "too little, too late" monologue by Mancar Cameron. MW allowed for natural breaks between missions so you could do other things, and even told you to "come back when you're not so wet behind the ears", without having to tell yourself "I don't care if the world is about to be invaded at any moment, and time is of the essence, I'm going off to pick flowers and learn Alchemy, or maybe start a career in the Fighter's Guild".

Morrowind's MQ started out very simply and basically, then started to get a bit strange, then got really weird and cryptic before (almost) all of the pieces fell into place. It was a deep, convoluted, and (mostly) enjoyable puzzle to figure out, with a huge body of lore and detail that went into it. Oblivion's MQ always felt like a generic "good versus evil" romp, with individual motives equally shallow except for a few scattered bits to offer some sort of excuse for your character to kill demons.

I somehow get the impression that Skyrim's story is mostly a similarly shallow excuse to slay dragons.

It matters what view you take.
Paarthurnax or the Blades

Yeah none of the later TES game comes near Morrowind story wise, the hole Dagoth Ur problem is so much more than just a prophecy. When you take all the lore into the picture, you get a not necessary absolut evil as the antagonist, but more of a extreme xenophobic nationalist, who, you might argue, is a pro dunmer option instead of the Tribunal and Empire. He's like a Dunmer Hitler, evil if your not a dunmer, but good if you like things he wants, to conquer Tamriel in the name of the dunmer and the sixth house.
That duality in the storyline, neither Oblivion or Skyrim comes close to.

Morrowind is leagues above the rest. Then its probably daggerfall or skyrim next. Both werent that strong. Oblivion is probably the worst. And Arena ive never done the storyline all the way through so i wont rate that one.

of course,all my opinion