Morrowind is really good, but its huge immersive world only helps to point out its weaknesses. Like Hadsus points out, the world can feel a bit lonely. The dialog options are incredibly generic and simple. Time actually progresses in the game and there is realtime weather, but the people are ALWAYS in the same place. They never seek shelter and they never go to bed. Also, for some reason, there aren't any children in Morrowind...
Gothic 2 is supposed to fix a lot of that by giving NPCs a daily life. You can follow a farmer around all day watching him work, eat, and go to bed.