I started with Skyrim, but I ended up liking Morrowind even more. The world is better-conceived: there are multiple political, ethnic, and religious groups, and they all have different relationships with/opinions on all of the others. That gives it a kind of verisimilitude the other games in the series don't have (though Skyrim comes closest). It also has 12 years worth of mods, many of which are awesome. Plus, the line between good and evil is not as clear as it is in Skyrim: everyone is imperfect, but no one is completely evil (even the main villain). This forces you to decide for yourself who to align with (though, sadly, they don't let you go over to the dark side and join the bad guy--though there are mods that let you). It's not for everyone, though--it's slow-paced and the interface is old-fashioned, and it's fairly hard at low levels (though it gets absurdly easy after awhile). But if you can make it past that, you're in for a treat.