Read this:
http://www.uesp.net/wiki/Differences_Between_Morrowind,_Oblivion,_and_SkyrimMorrowind
As a high-level member of a Great House, you can build a stronghold. You can also acquire two player homes in Bloodmoon. (added by me: you can also build a city through quests in Bloodmoon)
Oblivion
You can buy houses of your own in Oblivion.
Skyrim
You can buy houses of your own in Skyrim. NPCs who have a high disposition for you will often allow you to take some of their less valuable items and even sleep in their beds. Upon marrying someone, you will share ownership on all of your spouse's property.
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Morrowind
There is no map marker for quests. It is important to get full directions from a quest-giver before you leave. Make sure to ask about every topic that seems relevant to your mission to make sure you are getting all the information you need.
Oblivion, Skyrim
You can select a quest in your journal to be your "active quest". In most situations, a quest marker will direct you to the next location for your active quest.
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Morrowind
The Acrobatics skill is quite powerful compared to later TES games.
Oblivion
The Acrobatics skill has been significantly toned down.
Skyrim
Acrobatics is no longer a learnable skill.
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Morrowind
Your character has 5 major Skills and 5 minor skills. Your level is dependent on these. Everything else is considered a miscellaneous skill and has no effect on your level, though they do contribute to your attributes on level up.
Oblivion
Your character has 7 major skills. Your level is dependent on these. Everything else is considered a minor skill and has no effect on your level, though they do contribute to your attributes on level up.
Skyrim
There are no major or minor skills; in fact, skills aren't even chosen pre-game. All skills affect your level as they increase, as well as your attributes.
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Morrowind
The journal is organized chronologically. You can also look up conversation topics in your journal to see all the dialog related to that topic. As of the Tribunal expansion, you can look up all entries relating to specific quests as well.
Oblivion
The journal is organized by quest title. You can view all of the entries for your active quest in reverse chronological order. You can also view a shortened list of all of your current or completed quests. You cannot look up conversation topics.
Skyrim
The journal is organized chronologically, with more recent quests at the top. Completed quests are listed, in order of completion, on the bottom half of the journal. A single "Miscellaneous" tab contains all info on any miscellaneous quests. You cannot look up conversation topics.
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Morrowind
You can drop and sell quest-related items, so it is possible to lose them. It is a good idea to save items that have a unique name, or look them up on the wiki before getting rid of them, because they might be related to a quest later on.
Oblivion, Skyrim
Quest-related items cannot be dropped or sold until they are no longer needed. They will have no weight for as long as they are considered essential. The Elder Scroll in Skyrim is an exception where it weighs 20 and cannot be dropped.
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Morrowind
Custom spells are created by paying a Spellmaker.
Oblivion
Custom spells are created for gold at an Altar of Spellmaking.
Skyrim
Custom spells are not available in Skyrim.
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Morrowind
You can have multiple summoned creatures fighting by your side at one time. You can summon a wide variety of creatures, including animals and automatons.
Oblivion
Only one creature can be summoned at your disposal at one time. Summoning a second one dispels the first. Only undead and daedra (including Dremora) can be summoned.
Skyrim
Only one creature can be summoned at your disposal at one time. Summoning a second one dispels the first. However, if you have the Twin Souls perk, you can have two summoned creatures at a time. Only familiars, atronachs, and Dremora can be summoned directly. NPC corpses can be reanimated into zombies.
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Morrowind
A faction's quests may require you to kill an NPC essential to another faction's quest.
Oblivion, Skyrim
You can never kill an NPC essential to another faction's quest until after he or she is no longer essential.
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Morrowind
Advancement is dependent upon completing a certain number of quests (in no particular order) and having sufficiently high skill levels within the faction's favored skill set.
Oblivion, Skyrim
Advancement is dependent only upon completing the required quests, usually in a linear fashion. There are no skill level requirements.
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Morrowind
There is no icon to warn you that you are about to commit a crime, so be careful when you pick something up or open something that might be owned.
Oblivion, Skyrim
The take icon will turn red over owned items to warn you that interacting with it will be considered a crime.
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Morrowind
If you gain a bounty equal to five-thousand gold, a death warrant will be issued for you. Guards will not attempt to arrest you. The only way to get rid of your bounty is through the Thieves Guild.
Oblivion
Guards will always attempt to arrest you, and you can always be forgiven for your crimes through the proper channels.
Skyrim
Guards will almost always attempt to arrest you. If they witness you commit a minor crime such as petty thievery, and their disposition towards you is high enough, you can talk your way out of it. If you are Thane of the hold, you can eliminate the charges, but you can only use this option one time per hold. If you are in the Thieves Guild, an option is present where you can bribe the guard to drop the charges.
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Morrowind
Any number of items may be sold or bought in one transaction.
Oblivion, Skyrim
Each item or stack of items you sell or buy constitutes a separate transaction.
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Morrowind
Available weapons include short swords, long swords, broad swords, claymores, wakizashis, katanas, daggers, tantos, sabers, clubs, battle axes, maces, warhammers, war axes, halberds, spears, shortbows, longbows, crossbows, throwing knives, darts, and throwing stars.
Oblivion
Only short swords, long swords, claymores, daggers, clubs, battle axes, maces, warhammers, war axes, and bows are typically available, although a few katanas and cutlasses also exist.
Skyrim
The Skyrim player has the options of daggers, swords, katanas, maces, war axes, battle axes, greatswords, staffs, warhammers, bows, and crossbows(DG).
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Morrowind
Each weapon has varying damage levels for each type of attack.
Oblivion, Skyrim
Every weapon does the same base damage, no matter what attack is used.
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Morrowind, Oblivion
Armor and weapon condition will degrade as the items are used. When the condition reaches 0 (out of 100), the item is broken and cannot be used. The player can repair them or pay a weapon merchant to have them repaired.
Skyrim
Armor and weapons do not degrade or break.
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Morrowind, Oblivion
When the player is underwater, a meter shows how much air they have left before they begin to take health damage. Weapons and spells can be used while swimming.
Skyrim
No air meter when underwater. Weapons, spells, and shouts cannot be used when swimming.
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Morrowind
Essential NPCs can be killed, but doing so relays a message that "the thread of prophecy has been broken" and says to reload or "continue in this doomed world".
Oblivion, Skyrim
Essential NPCs cannot be killed.
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Morrowind, Oblivion
Your race, and to a lesser extent, your class, determine your starting attributes like Strength and Speed. These can be increased on level up.
Skyrim
Strength, Speed, and the other six primary attributes from previous games no longer exist—there are only three attributes now: Health, Magicka, and Stamina. All races start with 100 in each attribute, with the exception of Altmer, who start with 150 magicka.