Morrowind hands down. Everything about it was absolutely amazing and I feel in recent 2 installments (Oblivion and Skyrim) they lost a little of the magic.
Morrowind had beautiful visuals in terms of varied geography, crazy flora and fauna and it *looked* magical. Whilst the graphics may not hold up well anymore, at the time my mind was blown. The music is second to none, I still get all nostalgic and a lump in my throat when I hear the theme music of Morrowind. The game as a whole was fairly gritty whilst still being a fantasy game; there was racism, slavery, betrayal, murder plots, politics and war all throughout - even the factions pitted you against the others, culminating in being forced to pick a side and "remove" those in the way of progress. The main story arc was pretty great, and some of the scariest and tense gameplay of the series was found in the Red Mountain areas and in various crypts and caverns; they did a real good job building atmosphere. I still remember being kinda creeped out exploring Vivec sewers at night and stumbling upon a group of murderers.
The most jarring thing about it playing it years on is the combat system; I have been somewhat spoilt by Skyrim and Oblivion and missing/having spellcasts fail repeatedly is not something I'm used to anymore :P
I definitely enjoyed Oblivion + Skyrim too though; I've easily spent hundreds of hours in each world, and the Shivering Isles expansion for Oblivion brought back some of the magic from Morrowind. Hopefully they'll think about creating a more diverse world in the next offering, over the "vanilla" kind of lands TES4/5 offer.