Morrowind is by far the best out of those 3, but man is Morrowind hard to play legit. I always end up hacking acrobatics and archery and jumping rooftop to rooftop sniping guards.
forget yes, this. I remember I once set my acrobatics to a massive amount, jumped, ended up on the mountain in the middle of the land with all the corpus(?) infected and absolutely stuff myself when I saw all these zombies. Another time, I jumped and got that thing where you jump just off seyda neen and run into a guy who has invented a spell of flying and he falls down and you can loot the scrolls.
It's also fun just to tank up everything, run into banks and stuff and raid them. Most of them have like massive rock golems and stuff that take 2 hits even when your attributes are set to 1000 or so each.
Although, I only just got Oblivion, I'm finding it fun too though.