This is purely about vanilla gameplay here because honestly, graphics don't make the game (mods might but I'm not taking those into account here). Oblivion was a fantastic game that I invested 100+ hours in before even really starting the main quest. Morrowind on the other hand was a little bit harder for me to get into when I first played it but I just started playing again on Monday. When I first began my quest in Morrowind, I found that it was extremely difficult to do many things, I couldn't sneak, I couldn't jump I couldn't do much damage (when my attacks connected that is, which was about a 1 in 5 chance), I always failed at casting spells, and I ran at about 2 miles per hour. When I first played Oblivion it was a completely different story. You can sprint without wasting fatigue and jump high enough that you don't even need to focus on acrobatics at all, you can kill anything because enemies level with you (attacks always connect!), and your spells always cast. Now, this is where I differ from some people. I found that Morrowind's system was more enjoyable than Oblivion's. My reasoning behind this is because with Morrowind you feel a sense of accomplishment every time you do something right.

• You start out as a weak prisoner that can't do anything and work your way up to an actual warrior or a mage instead of in Oblivion where you start the game off as one or the other.
• Enemies don't level up with you in Morrowind, so you absolutely HAVE to start out small. You have to find some mudcrabs, or rats. (I have been killed by many a random enemy in Morrowind. Witches, bandits,... cliff racers.). In Oblivion, you start off fighting rats and goblins, but immediately after, you could go out and start killing any enemy you come across whether they are skeletons, ghosts, or even bandits, also, once you reached a high level, simple bandits ended up wearing glass armor and wielding daedric weaponry. Not cool.
• In Morrowind, most, if not nearly all, of the loot was hand placed. On one occasion, I was exploring a ruin, and I came across a dwarven crossbow. Mind you, I was still at level one and my strongest weapon at the time was the iron sparksword (the crossbow does 30 damage, the sword does 1-10 or something?). In Oblivion, I think only a small portion of the loot (disregarding quest items of course) was hand placed and your weapons would strengthen with your level.
• NO FAST TRAVEL OR COMPASS! I tried not fast traveling in Oblivion when I first started playing, but just the fact that I had the option made it nearly impossible. The ideas for the silt striders and transport boats in Morrowind were much better in my opinion. It meant that you HAD to explore the world to find what you were looking for and to do that, you HAD to listen to the directions that the NPC would give you. The compass thing I just feel makes the game too easy.
• Morrowind's cities are open (yes, I know that the Open Cities mod for Oblivion does the same thing) and connect directly to the wilderness which means no city gates, and no load screens just to enter the city.

• Horses were the greatest thing to happen to traveling since shoes.
• The combat system in Oblivion just completely destroyed the one in Morrowind. It felt much more polished and the animations were great. That said, it did have more modern technology and probably a lot of fan feedback and the combat system in Morrowind wasn't actually bad per se, it was just... impaired, if you will. It takes some getting used to.
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• The lock picking mechanic is much better.

• Oblivion had environmental traps (tripwires, pressure plates, ceiling spikes, spike pits, gas traps, and various swinging/falling obstacles) while Morrowind had magically trapped doors and chests which made the user carry probes in order to reach certain treasures and added a sense of strategy to conserving said probes. If both games' concepts were mixed together, it would make dungeons only that much more dangerous and fun.