What totally killed Oblivion for me was the scaling. I thought it really cool until having played a week and meeting a bandit in full deadric armor. That was it, didn't touch it for at least a year or two.
Then with mods, it was pretty awesome! But Vanilla Oblivion? svcks big time (Oblivion gates, biggest nuicance ever!). I think in all these years I didn't finish the main questline once.
Morrowind for me was the most immersive of the series. The whole strange region of Morrowind, you actually got a description on where to go and had to find it by yourself, the various ways of travel, the spell crafting, the not celled cities, levitation, the story, ... I could go on and on.
Skyrim is really great and I enjoy it very much. Way more than Oblivion when it came out! Still, even Skyrim doesn't stand a chance against Morrowind. But again, let's see what the modding community suprises us with
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