My probs with oblivion:
-Everything is *too* balanced now. You have enemies that level up with you, loot that levels up with you, etc. I'm at level 20 now and I have all this ebony loot etc. but it doesn't feel like I've earned it, as now I can go into any dungeon on the map and get more. Chest/crate/whatever loot in the morrowind dungeons got better as you progressed, but it didn't feel nearly so pronounced or integral to the game.
And they really took a hard line with static items (stuff sitting on shelves and such) being totally useless mostly. There are a select few decent items around in display cases and such but mostly they really wanted to "protect" players from the good stuff until it started to appear just about everywhere. Now at my level every npc is walking around with glass and ebony weapons on them, but the stores are lined with fur and iron.
-Fully voiced dialogue. You might wonder what I mean here, but personally I prefer partially voiced games like BG2/Torment/etc. I read quickly, and I have to be in a patient mood to actually wait for the NPC to finish his dialogue bits (or intentionally ignore the text), though at least most characters speak quickly and the lip sync is pretty impressive. But yeah, voices help with immersion and character association, but I since I'm not a mouth-breathing casual I like reading and prefer complex dialogue exchanges, explanations, backstory, etc.
Being fully voiced of course has the secondary effect of really limiting the size of the overall game script compared to what would be feasible in a partially voiced game. And, well, yeah there's a *lot* of dialogue in oblivion overall (40 hours? something like that), quests tend to feel simple because of the brisk descriptions and such. They tried to make up for this with scripted events in some quests, and those are nice but it still feels like it's missing out.
-Speaking of quests, I feel like I'm advancing FAR too quickly in the factions (especially since there aren't that many of them). People might complain about the quests sucking in morrowind, but I liked that it really took a long time and tons of objectives to make it to the top of the guilds, and you had a LOT of factions. In Oblivion I could probably easily finish the thieves guild, fighters guild, and mages guild quest lines in one sitting if I ignore all those dungeons I find when taking trips.
-Graphically the game is absolutely stunning, but the towns are pretty same-y mostly...I've played the game a *lot* and I can probably only recognize like half of the cities immediately by visuals, and I'm far too dependent on the map and compass to get around now. In morrowind the lack of a compass let me really learn the areas...I could probably draw a map of balmora right now, and I appreciate that the game resonated with me in that way.
Also, while most random NPCs in morrowind were totally useless, at least there was an appropriate density in towns and cities. All the non-guard NPCs in cities being unique and telling you their names and all that crap, in conjunction with the stiff graphical requirements, must've precluded bethsoft from actually populating the game world properly. The imperial city doesn't *feel* big to me. Not nearly something like Vivec anyway. I know it *is* big, and yeah I can see that spire from miles away which is cool, but the segmented outdoor nature of the city coupled with the NPC density takes away from it.
-Fast travel. I don't know, it's incredibly useful and pretty much essential when you're doing quest lines, as you jump from city to city to wilderness every other minute, but at this point I think I vastly prefer morrowind's system of limited boat/strider spots. And lack of mark/recall to your house is a huge omission here for loot collectors such as myself...I don't actually use my house and use a fast-travel lodge location instead for this reason. You also really need to stay away from fast travel to actually appreciate the game world, once you start populating your location database on the map. I mean now when I want to go somewhere it's all about clicking on the nearest explored location and making a bee-line, and that plus the compass mechanic means that I'm always like 30 seconds away from the dungeon or whatever that I'm traveling to, and I barely see the outdoors anymore.
Soooooooooooooo, yeah. Maybe what's really in order is an oblivion engine total conversion of...morrowind. With oblivion's combat, stealth, and graphics, and morrowind's total lack of mmorpg-reminiscent balancing and morrowind's real sense of freedom and accomplishment. Or maybe oblivion will be modded in that direction to some degree (it's already happening).