Hmmm...
If you're looking for console, then Oblivion 100% of the way.
On PC, they both have their pro's and cons
Oblivion:
+: Good graphics, good combat, good 'worldspace' (by which I mean that even though it's a bit smaller, seems to be more detailed,) much larger modding community.
-: Dodgy story, annoying early missions, dodgy side quest missions, expensive (in RL,) no sense of good or evil.
Morrowind:
+: Deeper story, more spells (levitation!!!,) many more guilds and quests, cheaper.
-: Fast travel only to major locations, VERY confusing in the beggining, steep learning curve terrible combat system, confusingly non-linear, no compass, poorly done journal system, horrible graphics and animations (even for it's day.)
In short, Oblivion is for very this-gen players who are looking for an RPG with a nice simple combat system. Morrowind is much better suited for someone who is prepared to put time and effort into learning how every spell works, what can be found in each region, how to get around quickly, etc. It's also a much less linear in terms of plost (perhaps too non-linear) - all you have to do to beat the game is destroy some artefact, and most of the guilds don't require you to follow any set course, often leaving you standing there wondering what to do next.