In Morrowind, you're given a vague mission that you can completely ignore if you like. This one is all about the atmosphere. You're an outlander in a land that hates outsiders. There's a ton of interesting plots hidden all over the place, and a neat story to uncover. Personally it's my favorite of the 4, though you'll probably have a bit of difficulty at first(Combat is unforgiving to say the least, until you gain a few levels).
Oblivion is good, but took itself a little too far. It's more of an action adventure game, but it is an excellent action adventure game. That being said, I wish there had been a little more touch of guild/count politics and infighting. The gameplay was really well done, but the story leaves a little bit lacking. It's expansion, Shivering Isles really did well there though.