I am a mixture of both. Clearly Skyrim is a big improvement on many of the aspects of Oblivion. I like the new combat style, magic style, and changes in skills and removal of attributes.
However, I personally prefer the province of Cyrodill to that of Skyrim. Cyrodill just seems more diverse, with lush green forests, snowy environments, murky swamps, and coastal regions. Sure, Skyrim has many of these, but they're all part of an overarching, snowy, northern feel (which, being Canadian, I grow tired of rapidly, another reason why I enjoy more temperate Cyrodill)
Fortunately, as some PC players have found, Bethesda built BOTH the Morrowind province AND Cyrodill province (geographic features of course; no cities or settlements with the exception of landmarks like White-Gold Tower) With the near arrival of the CK, we can expect Cyrodill and Morrowind provincial mods for Skyrim
Of course, I'm still patiently waiting for a Tamriel-wide elder scrolls game, kind of to the scale of Daggerfall, though probably not that large (would be monstrous to handle, and would likely not sell if released in near future, meaning it's likely several years away, maybe even a decade or more)