I really liked Morrowind,its fun to play and the construction set they give you with it is pretty flexible.
There are a lot of ways to play the game and a lot of different paths you can take. So many it can be a bit overwelming. Also its very sprawling, and as people have pointed out, its easy to get lost. The NPC's are mostly cardoard cutouts and the combat can get a bit repetitive.
Its still on my hard drive after a year though, Its just so replayable. Bored? start as a totally new character type. If you have used them all, design you own character class. Not happy with a game rule? change it in the construction set or download the mod from the net. Mods I used added hunger, passive animals (animals that aren't "monsters" won't attack unless you provoke them. Before everything would attack you regardless) and toned down the amount of Cliffrunners (A very annoying flying creature, and can you believe I almost typed Riftrunner? <img src="/ubbthreads/images/graemlins/winkwink.gif" alt="" />).
There are two expansion packs out, Tribunal that adds a more tightly plotted story, and Bloodmoon which adds a island to the north populated by Nords and (the main point) werewolves. You can become a werewolf yourself (Fortunatly not as inconveniencing as being a vampire) and run around doing various werewolfy based missions.
Higly recommended <img src="/ubbthreads/images/graemlins/up.gif" alt="" />