I haven't played any TES games before Morrowind. To me, Morrowind really pulled me into the world and filled me with a sense of wonder and a longing to explore. I loved how unique and strange the world could be. I never even touched the main quest. Morrowind also had the best music. I feel like Jeremy Soule's work hit a peak there and became stagnant and potentially even worse with later games.
Oblivion became pretty stagnant and boring after a while. The world did not feel like it was nearly as hand-crafted. Morrowind felt like it had more heart and soul put into it. Shivering Isles really helped, though, and pulled me in for a while. The scaling system took out a lot of danger present in Morrowind. I liked that there were places I couldn't go in Morrowind because I would get my ass handed to me. I could go anywhere in Oblivion without caring much.
I found Skyrim to be better than Oblivion. The world wasn't quite as boring, but still quite boring compared to Morrowind. Level scaling wasn't as bad, but is still bad. The story was more interesting. I thought the overall gameplay and design felt better and more streamlined (in good ways) compared to Oblivion, yet both games felt pretty simplified compared to Morrowind, really.
I had to play the main story quests in Oblivion and Skyrim to stay entertained. With Morrowind, I didn't need to. And, in the end, Skyrim really just felt like more of the same I experience in Oblivion with maybe some new things and some extra polishing in place. Even then, I played Oblivion way more than Skyrim.
Unfortunately, Morrowind's gameplay is very outdated. I wish it shared the same combat system as Skyrim but without the rest of the simplification that came with the newest TES games.
Since Fallout 3 was close enough to a TES game, I found it much better than Oblivion or Skyrim. Again, the world was weird and unique. The main quest was interesting. I had a strong desire to explore the world, and the world felt dangerous even later in the game (less level scaling than Oblivion or Skyrim). Somehow Bethesda was completely unable to capture the magic of Fallout 3 for the same generation TES games. Weird...