My problem with Morrowind is that it doesn't really ease the player into the game. I don't want to be hand held all the time in a game like this, but give me SOME motivation to play. In Morrowind you start out on a ship for god's knows what (I don't remember), and you end up in some random town and you have to figure your way.
I don't like that. At all. And this has impeded on my progress in Morrowind every time I try it.
I really enjoy how Oblivion and Fallout 3 handle it. You're ease into the story, especially in Fallout 3, and given lots of motivation and customization options doing so. It gives you a reason to care, and a reason to want to explore. There's no point in solving the mystery of exploration and enjoying the mystique that is a foreign world if the game does a half assed job getting you motivated to want to explore it.
Before Fallout 3, that was MY problem with Bethesda games.
I'm hoping that after all they've learned with FO3, they'll do a better job in this aspect with Skyrim.