I personally would recommend going after Morrowind first before Oblivion as there are some things that will be filled in that even in Morrowind was scarce with such as what happened to the Dwarves. Oblivion touches greatly on the Ayleid lore and of course, the realm of Oblivion where all of the Daedric Gods reside. To put it even better, the whole of Morrowind was all about Dark Elves and the High Elves along with the Nords in the expansion. Then there's Oblivion where it takes place in Cyrodiil which is home to the Humans so you get a nice taste of that.

Morrowind was very tedious when it came time to make spells/enchantments considering many things affected different things. As for Oblivion they removed too many things and put limits on what could be done which sort of ruined that so it's give and take for that aspect. Although of course with the PC version there's the editor for both games where you can do whatever so if you were to play it there that wouldn't be an issue unless of course you just want to play through it on vanilla or you don't have the time which is understandable.

Either way both games are very good and Morrowind has been proven to look just as good as Oblivion with the right mods enabled by the way if you were worried about graphics. Oblivion has graphic enhancements as well if you would like to sweeten that deal tool. It's up to you, have fun!