I've played three games from the series:
Daggerfall: Loved this, despite all the bugs. Just as well, because I bought a new PC just to play it!
Morrowind: Like you, I couldn't really get into this one. I just didn't find it very inviting or interesting. Most of the characters seemed to look
and sound like extras from a Star Trek spin-off and they didn't give the impression that they had their own lives to lead and so appeared to be there just for your benefit (something which breaks any sense of immersion for me.)
Also, settlements seemed too small and lifeless (not that I played long enough to see all of them). The final 'nail in the coffin' for me was that the shops stayed open 24/7! This prevented the kind of night-time 'shopping' sprees that I enjoyed so much in Daggerfall...
Oblivion: All the above problems have been addressed and a lot of neat new stuff - like the physics engine - has been added. Obviously this type of game can always be bigger and better, but overall, I'd say it's a big improvement on Morrowind and easily the best game on the 360 so far. Of course, there are those who would disagree with me on both counts, but it would be a dull world if we were all the same.