Definitely Morrowind.
Oblivion and Skyrim did improve in some bits of gameplay, the big one being no more swinging and missing despite connecting (I got killed by a rat the first time playing Morrowind after Oblivion because I couldn't hit anything at all) and having people actual wander around, go into buildings, etc, but the setting just fell completely through and became pretty unoriginal, boring and generic. I mean, try to sum up 90% or so of Morrowind's culture and setting using one Earth culture, you can't. But Oblivion? Medieval. Skyrim? Vikings.
That's the big thing that makes Morrowind so much better than its sequels in my opinion. You had a crazy and unique culture with mushroom dwelling wizards, vaguely desert-architecture-like merchants, crab-shell dwelling warriors, a native religion that had a vaguely Catholic Church-like organization spread throughout the land and wasteland-dwelling nomads. You had varied ruins from the past, Dwemer ruins, Daedric ruins, Dunmer ruins and Velothi towers. It all meshed together to make this really interesting culture that I wanted to learn more about, and really let the Dunmer move away from their origins as the Elder Scrolls' Drow substitute into their own interesting unique people. The writing was also much better, including actually having an interesting villain with motives beyond "Because I'm EVIL", not to mention that what exactly happened at Red Mountain during Nerevar's time isn't ever properly established, leaving some ambiguity that makes it even better. Having no voice acting means you don't end up having to listen to the same five (Oblivion) or ten (Skyrim) voices for everyone, and can put a lot more detail and amount into what people have to say because you don't have to pay a voice actor for each line.
Also the way things have become much more restricted, you've got less spells, less skills, to the point that Skyrim won't even let you make custom spells, meaning the spells in the game become useless after level 20 or so because enemies are too strong for the weak spell-strength. Levelling obviously is also an annoying thing, particularly Oblivion's glass-wearing highwaymen, but also the fact that there's really no big challenge or particular point in looting. All you'll loot is what you're allowed to loot at your level. Quest compasses are annoying, especially since you can't deactivate them (Skyrim's one reactivates the moment you get any sort of quest update) and since people don't give directions at all, you have to use the quest compass to track down a place that's not marked on the map, with no choice in the matter. Cities must be in their own worldspaces, meaning no levitation (levitation was awesome, especially how Telvanni towers were built basically as a 'if you can't cast a basic levitation spell you don't deserve to go see the Master').
Factions have become pretty bad. Skyrim in particular was terrible with factions that didn't feel like they existed outside of their respective guild hall (c'mon, the College I can understand, but the Companions were supposed to be a famous group solving Skyrim's problems and hunting down monsters, why does no one mention them outside of Whiterun?) or had too many randomly-generated quests or generic quests as opposed to actual proper scripted quests (Dark Brotherhood being a big one that irked me, especially considering Oblivion's Dark Brotherhood had the best quests in the game). Going through factions is also too quick, Morrowind had skill requirements before you could be promoted, meaning you actually had to be able to cast spells to get higher in the Mages' Guild or Telvanni. When I got to Archmagister of the Telvanni, I knew I earned it. And of course, factions have pretty much just become a standard 'Mage Faction', 'Fighter Faction', 'Thieves' Guild', 'Dark Brotherhood', as opposed to the bigger diversity and setting-specific factions Morrowind had with the Imperial Cult, Temple, Great Houses, etc, or Daggerfall with its separate Divine Orders and Knightly Orders. Also strongholds. Seriously, they were awesome. You can have your city houses back, having your own stronghold as leader of a Great House was much cooler.
I complain a lot, but that's not to say I didn't enjoy Oblivion or Skyrim. I mean, Oblivion was the first one I played, and I can't really decide if I like it better than Skyrim or not (partly from nostalgia, partly from Skyrim being so restricted and being unstable the moment any mod is added, I swear). I sunk hundreds of hours into both and still enjoy them, but they're definitely worse than Morrowind.