Skyrim relies a lot on immersion, but you have to be blind to not see that the quests are lacking in depth. The world is great, the combat is gratifying but the quests just fail to sate an appetite.
Are Oblivion's quests more satisfying than Skyrim's? Yes. Not by much, but they are generally more thought out. Unfortunately the world is dull, repetitive and boring.
Does Morrwind's quests in terms of depth destroy Skyrims? Definitely. Oblivion's? In quite a few areas, but not overall. Morrowind's quest system's writing simply had a larger quantity of it, but it ultimately around the same level of Oblivion's in a lot of areas, you just weren't spoon-fed where you had to go so it felt more immersive when you finally figured that the Dark Elf wanted the Urn from whatever Dwemer ruin, instead of a marker pointing that out to you. The world in Morrowind was also as good as Skyrim's, in terms of immersion. Unfortunately the combat and leveling have made such significant strides since Morrowind that it is significantly worse in those aspects.
So Morrowind may be the deepest, Skyrim the most entertaining, and Oblivion the in-between experiment, but none of their quests are deep when compared outside of the series, their worlds are great however.
The only real deep lore aspect of the series has been cemented by the writers of the in-game books, which has been steadily built upon since Arena; and until we get the level of writing that can be found in the in-game books into the quests of the actual game, I don't think I can call any of the titles "deep." They simply have a high level of immersion (that's been increasingly in different areas with each game) for when you go fetch that urn for the hundredth time.



