I started with Morrowind, after being a long-time Ultima fan, on the recommendation of a friend that knew I liked large open-world RPGs.
I literally spent over a year playing Morrowind on PC with the game proper, the expansions (even got into the beta for Bloodmoon), and the user mods.
I really liked Oblivion, completed the main quest, and continued playing it until my laptop HDD died (lost all of my save games). Picked up playing Oblivion on the 360 after that, but had a difficult time getting back into it after losing all the progress I had made on the PC version.
Skyrim is the first Elder Scrolls game I've played exclusively on the 360 and I'm loving it just as much as its predecessors. I get flashbacks to playing Morrowind with some of the environments (Dwemer ruins mostly, and especially one in particular) plus there are certain musical renditions that are variations from some of the incidental music in Morrowind.
Morrowind it probably still my favorite, mostly from a nostalgia aspect, but I've enjoyed each game I've played and already have 80+ hours into Skyrim without completing the main quest-line; I believe I'll be playing Skyrim for quite some time.