The fun of an Elder Scroll's game, for me, is the sense of aimlessness in a world that doesn't feel structured like a quest-checklist, but like a world. Something I can poke and prod and truly make my own goals and activities in. You could almost call it "meta-fun". The individual actions aren't fun - some in Morrowind are almost painful - but the big picture is enthralling for someone like me.
But not everybody's like that; and not everybody likes them