I think, if you're the kind of person that just wants to play a game, and doesn't want to think too hard about how the gremlins under the engine are working, Skyrim is the way to go. And there's something to be said for that. But I prefer Morrowind precisely because you can kind of see the guts sticking out. To play a mage is essentially just to be someone with the power to directly program the game universe.
Also, you can fly in Morrowind. FLY. Not only is it possible, it's expected that at some point you'll get some rising force potions or learn a levitate spell just to play the game. When I found out that feature was removed in Oblivion I blew my top. You don't go from "being able to fly" to "can't fly under any cicumstance" and call it an improvement.
Other things mentioned here that I think are super important include how terrible autoleveling has been for games. In Morrowind you can take a trip into Red Mountain at level one and get your butt handed to you like you deserve, and then go back at level twenty and get the kind of satisfaction that comes from seeing all the work you put into leveling pay off. In Oblivion and Skyrim I don't want to level very far past the mid-twenties because it creates a world full of tanky trash mobs I have to cheese to death, just so I can get the canned randomized magic items reserved for characters my level.
It's also awesome to be able to pick up a rare artifact just lying out there to be found at level five, and not have to wonder if you could have gotten a better version of the same weapon if you had waited until you were higher level.
I grant Morrowind has its problems, but it's a solid game that treats its players like adults, which is more than can be said for its spoiled, prissy descendants.