it is a dead heat between morrowind and oblivion.
Morrowind was a lot more immersive and, in most ways, had a better story.
Oblivion has better combat and it is better from a gaming mechanics standpoint. i like a lot of what both games did so it really isn't fair to try and compare them.
on top of that a lot of the 20 somethings, such as my self, see Morrowind with nostalgia we don't see Oblvion with. I got Morrowind in high school and was able to play in on my xbox that was hooked up to my parent's big t.v. it was a welcome relief from the dullness of the same old school stuff and tried out modes of relaxation. it was also my introduction to the series, thus giving Tamerel that 'new car smell'.
I got oblivion, on the other hand, off amazon using doom-room wifi freshman year. i played it on my soso laptop on ultra-low quality mode. I apreciated the world but it was far from new to me. on top of that my laptop really can't handle Oblvion, even on ultra-low mode so i have a lot of my memories tainted by lag and Dell induced overheating.
TL;DR it really isn't fair to ask gamers to compare the two based solely on the fact that they are so different. they were good for different reasons