Morrowind.
The world just felt more vibrant and alive. Wandering through the desert, arm protectively raised to ward off the sand blasting across the dunes and reducing your visibility to but a few scant meters ahead of you. It felt like an adventure. And then stumbling into a strange, hostile town where the locals glare openly at you and the buildings are unlike any you'd seen before, that felt like exploration.
Strange underground dungeons protected by ages-old but still functioning steamwork guardians. Hidden pirates dens. Cities built from pyramids that rose from the swamp around it. Huge, long-legged creatures for transportation. Alien monsters the likes you'd never seen before.
It was original, and everything felt hand-crafted and well put together. Even the backstory and plot, although fairly dry, made for an interesting setting worth looking into.
Oblivion just feels boring and stereotypical by comparison. Oh look, a pseudo-medieval town in a generic lust green forest inhabited by wolves and bears, how... predictable. Ghosts haunting ancient elven ruins? Oh my, how typical. Demons invading? Don't they always do that in fantasy games? Not to mention the landscape just felt so by-the-numbers, as though it had been created by a computer program rather than actual people lovingly hand-crafting every detail... oh wait, that's exactly what they did! They boasted the world was bigger, and it was, but it felt so bland and uninspired whereas in Morrowind the world might have technically been smaller, but everything felt alive and unique in such a way Oblivion didn't. You never knew what to expect, and there was danger around every corner.
As for Fallout, it was an improvement over Oblivion exploration wise, but I've still got my gripes.
Morrowind wins hands down. Better RPG, better story, better adventure.