I have to say that it is allot easier to get lost in Morrowind and between the three (Morrowind, Oblivion, Skyrim) it seems like it was easier for me to immerse myself in it. If you get it for the pc there are plenty of nice mods out for it that enhance the graphics pushing it more towards the Oblivion look.
Well, if you want some challenge, then yes, I personally prefer morrowind (and daggerfall) over oblivion. After playing skyrim I just can't play oblivion, either hard and strange morrowind, or more familiar skyrim. Also don't mind all those small problems and graphics, we always have mods.