It's actually kind of hard for me to say. Comparing Morrowind and Skyrim feels a bit like comparing a stripped-down experimental car that can hit 250 MPH with a Lexus. Morrowind definitely had its flaws, and plenty of them. But it also tried a lot of new things, created a setting that felt exotic and intriguing, and wasn't afraid to let the players amass some significant powers (perhaps too much so, admittedly.) By comparison, Skyrim is a much more refined experience, its roots in the real-world Nordic cultures give things a little bit of extra depth without having to stretch, and most of the basic systems feel like they've undergone far more rigorous examination and testing. But it also feels more like an amusement ride you're on than an adventure you're crafting for yourself, from the "morally ambiguous" quest options that force you to take one of two paths to the dungeons that all loop back to their entrances- convenient, certainly, but also a little unconvincing. And for all that refinement, it still had some significant bugs- all the harder to forgive given the relatively linear paths the storyline enforces.
They're both really good games, and I'm glad to have played and finished both of them.
...And you might have noted I didn't mention Oblivion. Like most middle children, Oblivion has neither the fussing attention received by the elder child nor the special newness of the youngest. It's completely okay, but its world was far more generic than either of the other games and much of its play-time felt far more repetitive, despite all the beauty of its graphics. I've simply wiped good portions of Oblivion out of my memory as having little value, while irritations like being forced to kill the "Grey Prince" remain.