Overall I prefer Morrowind, but it is limited by its older engine and the choice to not include fast-travel (which some actually do like... there are a lot of alternate options for travelling that are more sensible within the canon). In terms of atmosphere it rocked Oblivion's butt royally though.
His helmet was stifling, it narrowed his vision. And he must see far. His shield was heavy. It threw him off balance. And his target is far away.