I would argue that Bethesda's offerings have much deeper stories than people give them credit for. For one thing, the main story is always fairly good, even if it is kinda short. For another, we all have at least one favorite sidequest that sticks out in our minds long after beating it, sometimes many, and how could that happen if they were so shallow?
I also consider it to make sense that the stories aren't particularly deep, you're just some random guy/girl randomly bumping into people and deciding to help them, it's no wonder that people don't feel the need to tell their entire life stories to a complete stranger nor that you would go out of your way to find out everything about every character involved. At the same time Bethesda games give you the opportunity create your own stories outside of the quests and even somewhat in them, as well as do wacky things like placing a bunch of mines in a row, shooting one, and watching the fireworks, or Fus Ro Dahing random people off ledges.