Morrowind has better exploration and a more rewarding leveling system. You may easily get confused and lost, and you will most likely miss your targets if your weapon skill is low enough. Morrowind lets you wear clothes under your armor under your robe. The game is like The Lord of the Rings in that you have to read a lot of text. Vvardenfell is smaller than Cyrodiil but feels bigger because of weather effects (fog and ash storms) and the fact that you character will become fatigued if you run for a prolonged amount of time. The Blades are spies and the world is made of wood and solid cardboard. It was developed for PCs.
Oblivion has better combat but not by much. It's still pretty much hack & slash (no stabbing). Archery has improved the most, at the expense of cool weapons like shurikens and crossbows. The quest log and compass will tell you exactly where to go at all times. Oblivion lets you customize you character's face to a greater extent than Morrowind. The game is like The Lord of The Rings movies, both in appearance and the black/white plot. Cyrodiil is bigger than Vvardenfell but feels smaller due to greater view distance and the fact that you can run forever without getting tired. The Blades are bodyguards and the world is made of plastic. It was deveoped for consoles.