Always start with the first mainstream release. In ES case that would be oblivion
morrowind was mainstream af when it released dude, there's a reason so many people consider it their favorite
My answer's going to sound a little strange, but the best way to play through the games is is in chronological order, really. Moving through any game series in chronological order allows you to experience it the same way people playing the games for the first time did(and this is advice for any game series in general, really, not just TES), so you can really appreciate how each game improves on the one that came before it. It sounds off considering how poorly Arena and Daggerfall have aged compared to their successors, but it makes you appreciate what comes next that much more.