Morrowind, by several miles. "A'ight, here you are, on an island. Go to Balmora eventually. Know where that is? Fuck you, figure it out yourself."
All three of the games listed let you get lost, but in Morrowind you were lost by default- The world felt at its strangest, and most mysterious, when you didn't have an obvious task thrust upon you by the fates, because you didn't have that reason to forge ahead.
I wasn't too fond of Oblivion's intro, because it was a frustratingly long cavewalk and the story really wasn't that interesting, but leaving that cave and seeing the gorgeous, vibrant outside world for the first time was admittedly all the sweeter for your captivity in darkland.
Plus you could make a save right before leaving the cave, and remake your character there, so you only really had to see it once.
Skyrim didn't have that sudden contrast with the pretty colors, because you started outside, and you couldn't skip the intro with clever saving, so...
Fuck Skyrim's intro.