Morrowind: Dense, lot's of lore and immersion. More open, and less guided. I think at this time the cult of linear narrative was in it's infancy. And so you could kind of do more of what you wanted in Morrowind.

Oblivion: Brilliant for it's time in terms of world building, graphics and size. Famous for it's goofy elements, story line and characters. It still kept a lot of that attention to detail, but you could see it was starting to make tradeoffs.

IMO, As time has gone on, TES had traded size and grandeur for attention to detail, and Tolkien-esque world building. Skyrim was beautiful and a good continuation of the series. But it successfully struck a great balance between open world role playing, and commercial accessibility for audiences more accustomed to a single player linear narrative experience.

I'm too young to have played Daggerfall or Arena, so someone else would have to fill you in.