Without a doubt, I'd choose Morrowind. But I wouldn't play it on 360/Xbox. Find a very cheap PC copy, pick up some free mods from the community, and have a great time. It should run great on even a modest PC config.
Skyrim = lots to do, but no real depth to the story or mechanics
Oblivion = okay story/stories, and clunky level/world design and combat
Morrowind = clunky combat, but constantly engaging world, quests, and story. The most open and liberating of the Elder Scrolls games.
I've played all 5 Elder Scrolls games. Arena was incredible at the time for being so unusual. Daggerfall was incredible at the time for being so huge. Morrowind was/is incredible for being a tightly constructed world with endless exploration. Oblivion was/is incredible for making a console-friendly experience. Skyrim was/is incredible for bringing open-world design ideas into the "Bethesda formula."
Personally, I thought Oblivion was one of the less engaging entries in the series. Its biggest payoff was the fact that it found a reasonable way to bring a PC experience to consoles. Morrowind is not a good console experience, but it's still to this day a phenomenal PC experience.
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