I enjoyed both, but Morrowind a lot more. The number of hours playing each is the tell-tale for me: I easily spent double to triple the number of hours playing Morrowind over Oblivion.

I am curious to see what they come up with next, and will likely try it when I can. I tend to run behind the current level of tech and so play games a year or so after their release. Tends to work out well in the $ department, and I get plenty of mileage out of the games I do buy this way.