Some choice have his consequences,but usually superficially written and developed by Bethesda. Superficially 'cause we have no choice actually and these have no real impact -or minimum -on the world.
Fallout New Vegas is a good example of choices/consequences,but it implies an "end" to the story,not feasible in the Tes series unfortunately.
But the real problem in my opinion is the lack of depth - more evident in Oblivion and Skyrim than in Morrowind - and this is due to a strict choice of Bethesda
more simplicity = more audience
And with "depth" i mean advlt contents and writing,choices and plausible consequences
i.e. Red Dead Redemption (apart from the superior writing of the "main story") even on side quests give you the opportunity to capture a criminal/prisoner -with a bonus. In Skyrim instead you have no choices - even with the Companions,you've to kill that person with no explanations, like Db do.
So, what are the differences if you choice to roleplay a good character or an evil one ?
Sorry if i have to say this,but even this "minor things" denote a blatant inconsistency in the writing. i don't ask Dante's Divine Comedy or Goethe's Faust in a videogame; only a bit of reliability and depth in a game rated "mature"

I've only played "Morrowind", "Oblivion" and "Skyrim".
In all 3 of those games your choices have the potential to have a serious impact on your character, other characters and all of Tamriel.
I can only presume you gave up after "Arena".
Too bad. You missed out on some good games.
Azrael
The Nord with the Sword