I can't agree more with Oblivion's setting. Morrowind had a really awesome world, I remember spending hours simply exploring and getting lost in the huge deserts and canyons, finding huge sprawling caves on the coast, exploring the underwater landscapes beneath the cities, dredging the swamps with the weird trees, and climbing around the crazy funky buildings in some of the towns. In Oblivion everything was so amazingly generic fantasy, big fields, forests, hills, and medieval architecture everywhere.
I had the PC version so the auto-leveling was really only a slight annoyance on my first character... soon after fixed by mods. Still, the environment and setting didn't capture me like Morrowind did.