Well, the way I played it (Oblivion) was to kill an innocent to get TDB guild quests going, then mage/fighter/theif guild quests going. These quests very often made you go to places out in the wilderness, and you can't fast travel unless you uncover it. I'd use these quests as opportunities to adventure out and go off the path and find new quests/places.
Plus, it's optional. You don't have to use it.
I agree that Morrowind has some things I wish were in Oblivion, like vampire "guild" so that you had more to do when you turn into a vampire than just be annoyed at the sun. None that to me personally overtake all the positives Oblivion brought to the series, though.
I love Morrowind but that game drove me nuts. I remember when I had to deliver some weapons to miners in an obscure cave in the middle of the dessert I would get freakin lost. I ended up going around in circles until I finally cracked and looked it up on the internet. It wouldn't show up on your map or anything. The guildmaster would just say go far east. Thanks, Magellan.
You forget that this isn't just some brutal sport where everyones out to kill each other. Its much more like a game of physical chess.-looney liam