I like Oblivion better, but some of the things in Morrowind were better, like the enchanting items was better, spell creator was better. The RastTravel in Oblivion is probably the best addition to the series though.
Definitely Oblivion. Far more user-friendly, with a starting map that has all the major cities on it. The map is easier to read, and it also has fast travel, so you don't spend about 5 years walking around.
The combat is ten times better, since in Morrowind ranged combat was overpowered, magic was underpowered, and the most effective way to do melee was click as fast as you can in the direction of the enemy.
And while Morrowind does have some neat features, such as the Scroll of Icarii Flight (?), which gives +3000 or something to acrobatics for 7 seconds, Oblivion has some awesome features too. For example horses. Also, the quests in Oblivion are far more interesting, such as a mission to assassinate a pirate on his ship, without being caught by his crew. Or loosening a stag's head trophy above a nobleman's head, thus killing him.
And, of course, Oblivion has far better graphics and voice acting.
