Unlike foreshadower, who wouldn't know a good game if it were a nuclear-powered mechano-spider biting him in the ass, Morrowind is easily one of my favorites. I hadn't known that Daggerfall was out freely now, so I'm gonna have to grab it, but I loved playing through Arena on DOSBox. What I have noticed is that Bethesda's development process of this series has been to focus on vastly improving one major feature, while fixing and bringing other areas up to speed-- In Morrowind, they were able to push the limits of the game world and graphics. Oblivion brought an improvement (to a degree) in AI, and moved the combat to a new direction, while Skyrim brought the Quest system ahead.
Morrowind's greatest strength lies in the sheer amount of things to do, and the challenge in doing so. Monsters and bosses don't level with you, you're not going to find a bandit with a full suit of Daedric armor, and there's just so much !@#$% going on that you have to actively be avoiding anything of interest in order to get bored. I really wish that Skyrim had brought back the Vampire factions, because those were some of my favorite questlines in Morrowind.