Other points besides those already mentioned:
*Morrowind basically didn't have much restriction on stats, for instance there were ways to raise your Intellect to 1000 at least temporarily. There were some fun implications of this fact, like jumping over mountains when having very high acrobatics, etc.
*Enchantments were more varied and much less restricted, my personal favorite for instance were enchants of constant life regeneration. You could enchant armor, too.
*Armor pieces of the best types (not even enchanted, just plain pieces) were very rare, like "2-3 copies in the whole world" rare, and usually very well hidden so exploring actually paid off. In Oblivion you need to level past 20 or so to have the best type of armors available on every bandit or so. Gloves (and pauldrons) were separate, not in pairs, so you could wear one kind on your right side and a different kind on the other, I'm not sure if boots were individual, too.
*If you wanted to get off the beaten path and find some of the strongest enemies in the game you could do so at the very beginning... if you got passed rats or other lowly vermin first, that is. Heck, relatively early in the story you already knew more or less where the main "boss" is, so if you were so inclined to go to him and try your luck you could do so, as well.
*Cities weren't walled off from the main world, no loading screens when you entered them.
*12(?) different factions that you could do quests for, though their respective quest lines weren't as good as questslines for Oblivion's factions. Also the interplay between different factions was amazing. Choosing some of them prevented you from joining some others, for instance, which was great for roleplaying.
*MUCH better lore and main story. More interesting characters. Even though the world was smaller, it had more varried environments and had more geographical barriers. Cities were much more varied than Oblivion's. All cities in Oblivion are basically some variations of European architecture. In Morrowind many cities or towns looked very alien... like towns with houses inside huge tree-like mushrooms or dwellings inside shells of dead animals. Even the largest city looked quite alien.
*There were more categories of dungeons (like Aylied ruins in Oblivion), and the one I missed the most in Oblivion were Dwemer ruins. Daedric shrines in Oblivion were just statues with a couple of NPCs hanging around but in Morrowind they were basically like additional kind of dungeons to explore. It's sort of understandable 'cause the deadra are deities of the province Morrowind... but there should have been similarly big shrines for the Nine divines in Oblivion instead, IMO.
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