I prefer Morrowind over Oblivion, simply for the Main Quest.
Oblivion is pretty but once you get used to it, nothing really surprises you anymore. There's nothing that's actually interesting after the first ten hours of gameplay. Especially after the main quest. It's almost too open-ended.
Morrowind: I'd played over 100 hours and still hadn't finished the main quest because I'd get sidetracked. You don't get side tracked much in Oblivion. You can't really because the Main Quest is actually pretty linear once you just sit down and do it. Morrowind's Main Quest was slightly linear as well, but longer and took you through more places so that you would be sidetracked by quests along the road. The quick travel feature was too tempting for me and really ruined the game.
It's worth getting, if only for those initial ten hours of gameplay... plus, for some people, they really get into it, while others, like me, expected a little bit more and jsut get disappointed and then bored with the game.
Don't get me wrong, I love RPGs, I crave them. Good ones, anyway. But Oblivion wasn't really much of an RPG, in my opinion. More Action with a lot of map and dungeons, really.