Over the whole TES series;
Skyrim > Daggerfall > Morrowind: Bloodmoon > Oblivion > Morrowind
Skyrim has the better character system. Sure, a lot of skills aren't there anymore, but I don't want to fight dragons unarmed anyway.
Skyrim has finally a good magic system. No spell making? At least I don't have to scroll down thousands of useless spells to find my game breaking apocalypse spell. I started as a conjurer in Morrowind and ended up with a sword fighter because, apart from levitation and the fast travelling ones, the spells always ended up beeing useless after a few levels. I don't want to recreate every damned spell because the standard ones are a big pile of cliff racer fecies.
Combat? Skyrim beats everything. As I always liked the Gothic series, well the first two anyways, I love player focused combat. But I like D&D based games too, so missing chance and stuff is fine with me. But when I SEE my Greatsword of big ouch coming down on an enemy skull, don't tell me I missed it.
I like nordic stuff, so I have to emrace Skyrim (and Bloodmoon). That's an easy one and is absolutely subjective.
Now for Oblivion. I liked the DB quests, way better than Skyrim. Every other faction? Longer but also more boring for me. The magic system was even worse than Morrowind's, the combat was better than TES3 but Skyrim beats it. The MQ became a pain in the bottox later on and the damned portals were more tedious than Skyrim's radiant bullsh*t can ever become.
Morrowind? Didn't like the setting, story and I absolutley hate dunmer, so no chance at all. But apart from that, I fought some small brown creatures in a brown mud world, a slightly less brown grass area and lastly the red-brown mountain area. Everything felt repetitive for me, and don't get me started on the ashlander part of the MQ. Oblivion's portals were more fun than the ashlabder stuff. Hell, even the radiant quests of Skyrim are more fun.
I played Daggerfall after Morrowind and it was afar better experience. Much more coplicated, even less user-friendly, but the world just felt right. And wereboars. Loooots of wereboars.
I did not pick up Arena yet and probably never will, so I don't consider it.
After all, Skyrim got less but better polished content, Oblivion was fun but fell in the pit of stupidness half way through and Morrowind was, apart from Bloodmoon, at least for me more painful than fun. Dagoth Ur has to be mentioned as the exception of all this because he's the only really intetesting character in the whole series. Well, not really, but he was fun.
And for the whole Steam issue: I am actually one of the dreaded CoD players, so yeah, got used to it since CS 1.6. I don't even buy non-Steam games anymore, I like the tool. But as I did not pick up BF3 because of Origin (and other reasons), I can see why people get upset about the whole steamy issue. Why make it mandatory? Probably because it's easier for Beth to handle the whole update process. But yeah, it's still stupid. Don't force folks to enjoy the Steam experience, they have to appreciate it on their own.
/e: I think I know why my CoD playing bum can enjoy Skyrim way more than Morrowind. It's not really the dumbing down, it's more my guideline for single player games that less but better paced, designed and more polished hours of content beat weeks of sometimes brilliant but also lots of boring content. I like the fast experience and can get immerses in a little rushed stories. If you can't it's not your fault, it's a different taste. And if Skyrim gets other people more excited than Morrowind did I'm ok with it.
(Evety typo in this post can be ignored because I'm A: not good at English and B: typing on my phone, which is about as enjoyable as the ashlander quests were.)