Morrowind, and Daggerfall before it actually reward you for paying attention to the story. Conversely, it'll be pretty hollow without that.

The stories are more non-linear than their later games, and infamously, there's no quest marker or true quest journal. Your journal records important stuff, but it'll be written 'in game', describing places being like 'west-north-west of the marker on this road', and you'll have to actually navigate that. You have more options for doing things like 'winning over a majority of the houses'; you can pick which houses to go after, and most of them have multiple paths to win them over, many 'hidden' behind actually talking to many house members. And, to top it off, you can kill anyone. The main quest is 'solvable' by being a murder-hobo. You can march up to the god-king of the land, kill him (though it is very difficult!), and there's just enough info in his notes to still complete the main quest. Their later games just make important NPCs unkillable, which really feels like 'bumper rails at the bowling alley' to me, just ruins immersion even if I'm not really a murder-hobo player.

I also hate the gameplay design of not having level areas. I hated Oblivion for having the entire world leveled to you; it made leveling up feel entirely pointless. By the time your a max level, max equipment hero of the land, the bandits are still threats to you. Its like an anti-powerfantasy mechanic. I like having areas gated off as 'hard', or 'come back later', and I like being able to not give a shit about bandit at high level. It makes the world feel more real.

Lastly, and this is minor, I like that the island of Morrowind is weird. Oblivion was mostly just 'medieval Europe', and Skyrim was mostly just 'medieval Scandinavia'. Morrowind is a weird volcanic ash island with giant mushrooms and giant bugs. I like fantasy being fantastical.

That's not to say either Morrowind or Daggerfall are without flaw; they have many many flaws. But every generation feels like the world is cut down in scale. Morrowind is smaller that Daggerfall (which, for all its crust, I love cities actually being huge). Oblivion has vastly less dialogue, since they added voice acting, and it's 'radiant quest' system added endless procedurally generated busywork quests. Skyrim removed or simplified many mechanics, and made sure the world was always open; its just weird and immersion breaking to me that every character regardless of build can become leader of the Fighter's guild, Thieves guild, and Mages guild.

The real answer is probably that I played Morrowind first.

Alternatively, Morrowind was just more unique. It had tons of weird shit like mushroom trees. You would find completely unique quests and items just by wandering through the world. It gated you from content if your path took you a specific way. Like, if you join the thieves guild and do a mission to steal from another guild, you can't join that other guild. They weren't afraid of players "breaking" the intended path, so you can craft bonkers spells that let you jump across the map or fly.

I also think not having voice acting allowed them toake conversations more interesting. You could really dig into the world via NPCs.

Just a very unique game that doesn't really have mass market appeal.

Oblivion was still really good, but it was simpler. There was less meat to it. This also meant it was more accessible, which is a good thing for a lot of people. Oblivion has a lot of really fun questlines. Skyrim is a lot like if Oblivion had a better built world, but with worse questlines.