There's two key differences:
1) In Oblivion and Morrowind, you knew WHY you were doing the quest you were doing at all times. If you got a quest, the NPC was kind enough to give you a story or details on why you were doing the quest. For example, in Oblivion you have The Killing Field, where you have to help that Farmer's sons defend the farm. Why are they defending it? Because that's their home, obviously. Why does the farmer ask you to do this? Because those are his sons, obviously. Skyrim falls flat in this in that sometimes you get a quest where someone is basically saying "I need this" with no real backstory. A brilliant example is the Companion's quest to "rough someone up," where you address the person you beat up with "you know what you did" when you yourself infact have no idea what they did. On the other hand, the Companions quests in general seem to repeat the theme of "Silver Hand causing problems for us" in.....well in every single quest, without fail up until the last quest. Or on the other hand, you know why.....SORT OF, with the key word being sort of. For example, a certain quest in Whiterun where Party A claims to be an innocent hunted by ruthless assassins, Party B claims to be lawful agents hunting a wanted criminal and then regardless of who you believe, the surviving party says "thanks." Like literally, they just say "thanks" and you never know who was lying and who was telling the truth.
In this sense, there's a lot of doing, but when you, as a human being, try to ask yourself "why am I doing this again," you can't answer it because there is no answer provided. Or if there is, the answer is only half-there, with very vital details absent.
2) In Oblivion and Morrowind, the quests were attached to very nice storylines. Skyrim may hand you a quest that's literally "that guy stole my family heirloom, please kill him and get it back." This is fine every so often; Morrowind and Oblivion BOTH had quests with this exact same plot. The difference is that in Morrowind, you had a main quest with lots of foreshadowing; one that, by the time you understood the prophecy, it was because you had just fulfilled it. Where you had an "OOOOOOOOOOHHHH" moment when you realized what the prophecy truly meant. Oblivion had a Thieves' guild that, again, has foreshadowing. You spend several quests doing seemingly trivial tasks...that is, until you meet the Gray Fox and understand the purpose of it all. That is, until you complete the Ultimate Heist (which definitely deserved the name "ultimate") and have a giant "OOOOOOOOH" moment as all the final pieces come together.
Skyrim? Skyrim's foreshadowing is basically that you find a word wall before absorbing a dragon's soul. That's it. You find words and think "tf are these for," then 5 minutes later you know why. This can't be called foreshadowing because the events are so close to each other and because the game trailers and previews kinda ruined the mystery of the storyline. Hell, the sense of foreshadowing in general is ruined, probably by the fact that when I join the College of Winterhold or the Thieves' Guild, I'm immediately approached by some guy that says "EXCUSE ME SIR, I JUST WANTED YOU TO KNOW THAT I AM AN INCREDIBLY SELFISH AND CONDESCENDING A-HOLE, AS MADE CLEAR BY MY OUTRAGEOUSLY OBNOXIOUS AND [censored]-LIKE VOICE. THIS IS THE PART WHERE YOU ARE SUPPOSED TO SUSPECT ME OF BEING THE ANTAGONIST." I mean it's literally like a freaking cartoon sometimes. Was ANYONE surprised by the events of either of those guilds?
Aaaand that's it really. Skyrim just lacks good stories, which is very ironic for a culture that's supposedly supposed to have good bards.
I suppose you could say a 3rd problem is the quest chains have no pacing. Whereas Oblivion and Morrowind aren't afraid to say "here, go on a couple filler quests for a while with very minor impact or involvement with the main plot," Skyrim seems phobic of filler....until the end. Skyrim is basically as if one were to take the Dark Brotherhood of Oblivion, rip out ALL the quests except your first assassination job, your last assassination job, your "purification," and then the final job, and THEN all the other quests are tossed at you after you're the leader. The result is you have people -literally- screaming "Hello nice to meet you welcome to the guild what can I get for you leader?" at you in a very awkwardly-paced storyline that just kind of leaves you asking yourself wtf just happened...
Haha very well said

Your right man, like with there were no surprise in the College or Thieves guild. As soon as i met
, I was like, Yup these are the bad guys.