To be honest, I just played Morrowind (liked it a lot), Oblivion (absolutely loved it) and Skyrim (daydreamed about it for weeks), plus respective DLCs.
Then... Don't go back. It'd be
rough if you started with Morrowind, to say the least. Morrowind is the first game where they really nailed it all together.
Imho, Arena was a worse Ultima Underworld (bland grid-based dungeons, non-existent puzzle, no dialogue to speak of) but with a cool procgen tech that made towns huge and super cool to visit. A big letdown was the absolute pointlessness of outdoors environments. You could wander for ever outside of towns and dungeons, but it would simply be procgen environment with very very little interesting stuff, like not even any large-ish ruins or small dungeons to explore, just a house here and there if you got lucky and terrible loot. Already, it had the Bethesda trademark of taxing the current pc gen.
Daggerfall was a massive improvement with proper 3d environment and still the massive sprawling cities, except this time on a full massive landmass. Still the only game I can remember that does a proper job at city scaling. Also, massive freedom in character build with completely over the top abilities and weaknesses. You could, like, be a pseudo-vampire taking damage from the Sun and Holy places yet absorb magic. The spellmaker was also hilariously freeform. Still a messy engine though, and the procgen dungeons were a nightmare to navigate until you played it enough that you knew all the building blocks. An incredible game, but still let down by the clunky hybrid 2d/3d engine and its performance issues. The dialogue/story was again pretty much missing but this time there was so much procgen stuff with 2934723 guilds that it was actually working out in an ED kind-of-way. Oh, and just like Arena, the outdoors were again a missed opportunity.
Battlespire was a weird low-budget outgrowth, set in a single handcrafted dungeon. Complete commercial failure as without the travel, environment, guilds, etc, it wasn't exactly the best bits of the previous games. That said, the dungeon crawling was much much better than in Daggerfall's procgen dungeons. Still a bit of an empty experience.
Redguard was then an 3rd person adventure-action-rpg. Never played it, and to be fair, it looks
awkward. It was the early era of 3d character models and boy does it show...
Funnily enough, Morrowind's development started at the same time as Battlespire and Redguard...