Skyrim at least felt like you had some choice in what you did. Oblivion was very forced. It felt like you were being lead by the hand with what to do with the quests, what your character felt etc. The level scaling with monsters leveling with you was more extreme than Skyrim. I felt that Skyrim had a more interesting and immersion environment too
Not saying Oblivion or Skyrim are games I liked, but I enjoyed Skyrim far more than Oblivion. I just couldn't get into Oblivion. Also those repetitive Oblivion gate quests were awful
Morrowind at least had an interesting environment, quests you had to think about, decent story, open feel to it without forcing you into the main quest etc
None of the games have good combat though imo, and Morrowind is very exploitable with character builds