I feel like Morrowind is superior in most areas. Oblivion wasn't a fully open world which forced them to remove some of my favorite spells from Morrowind to keep you from jumping over city walls rather than going through the gates and being forced to load. That said I've never beaten Morrowind because I never played the story since it was so easy to just make up your own in that game. Oblivion you kind of end up forced into the Oblivion gate story line when they start spawning all over the world.

Probably my biggest gripe is the fact that Oblivion has that leveling system from hell. Bandits ambush you on the road and one or two shot you because you took acrobatics like in Morrowind and spent all your time jumping around to level quickly only to get ambushed by a bandit wielding a glass sword in full glass armor. It just sucked, and even after someone made a mod to even it out a bit that shit still kind of aggravated me. I like how they did it in New Vegas and Morrowind where there is shit that will fuck you up in certain areas but there will always be wimpy little things around too no matter what level you are. Honestly Oblivion can be beaten really easily between level one and three because the monsters are so weak between those levels that you never encounter anything you can't beat with a fireball spell and some kiting giving you no reason to ever level up.