I never cared for Oblivion as much as Morrowind. I even played Morrowind AFTER playing Oblivion and I just didn't like Oblivion over Morrowind. I remapped my controls to a more Oblivion-like control scheme, so those that say it was hard to figure out the controls for Morrowind can't use it as an excuse to dislike the game.
Graphically, yes Oblivion is superior to Morrowind. But to a true gamer, graphics shouldn't matter at all. I could care less about what the game looks like, as long as the gameplay is fun.
I enjoyed Morrowind far more than Oblivion. I am the kind of gamer that finds walking a massive landscape for hours fun, and Oblivion, although big, was just tightly packed. Everything is so close together. Morrowind takes hours to walk across(I've been lost in Molag Amur before^^) The gameplay is just more fun somehow. Oblivion is very combat-heavy. Quests seemed a bit boring in Oblivion too. Morrowind gave a sense of wonder and amazement at the world and you truly felt like you were in a different world.
Oblivion looks....like a typical place on Earth. There is nothing really redeeming about Cyrodil. The various Ayleid(spelling? I haven't played in a long while) Ruins were cool for a while too. Oblivion just seems generic. A typical RPG game in first person view.
I've played Arena once for about five minutes because I got about 2fps for some reason. I got a better FPS playing Oblivion on an old ATI Radeon Xpress 200(horible card, glad I upgraded) before. I can't figure out why it won't run properly. I found Daggerfall on some old abandonware site but I doubt it will run on Vista.
Morrowind without mods is great fun, and with mods it's even better. Oblivion's mods seem to center mostly on weapons, armor, spell effects, and house mods. Morrowind has new landmasses, weapons, armor, more books, quests, etc. Morrowind has had more time to get mods made though, so maybe Oblivion just needs the time until it has as many as Morrowind does.
I enjoyed Morrowind more. I played it for almost three days straight when I bought it over the summer. Oblivion I put down in about a day for some reason.
"I can't install things to my D:\ drive. Can you help me?"
"Just delete system32.dll. It should work fine after that"
