Morrowind is a richer experience, with factions vying for political power, tonnes of quests - the whole shebang. It even has vampire tribes you can join, as opposed to the kind of half-assed vampirism in its successors. it's totally non-linear, in that you can actually fail the main quest, if that's what you want to do.
On the other hand, you can mod the shit out of it, but the characters will still be weird, the conversation mechanism archaic - although with more depth, the animations will always suck, and I've never found a decent nod to fix the broken, boring and uninvolved combat.
It's a much larger time investment than Oblivion or Skyrim, and therefore deeper, but there are a lot of little things that are going to bug a modern gamer, from the lack of any real handholding - no compass for instance - to massive walls of text in place of voice acting, but it works, either way.
If you're a fan of the genre, or want to explore a rich world, then go for it. If you're just thinking about it because you hear people bitching about the good old days, then forget about it, because nostalgia can make up for a lot.
And whatever you do, get the game on PC. Skyrim might have been console-centric, but Morrowind will suck if you get it on Xbox, not to mention the fact that mods are the lifeblood of this game.