The 'improvements' made in Oblivion and Skyrim in the name of making the series more accessible have 'fixed' what made Morrowind so great for me in the first place.
Things like fast travel, the magic compass, map markers and scaled enemies and loot all seem like good ideas in theory, but it's the cost they come at that leaves me feeling dissatisfied.
Fast travel has rendered the land between points of interest largely barren beyond enemy encounters, and also spoiled the excitement of getting a mission that takes you further afield than you've been before - all too soon you'll find missions in Oblivion and Skyrim that have you warping half way across the map to the nearest city.
That brings me to the compass and map markers - while the compass points you into the direction of every point of interest, the map markers tell you exactly where you need to go. In Morrowind you actually would have to (and this is a funny concept, I know) use your map and follow NPC directions (which often cited visible landmarks). The result is that, ten years later, I still could give you detailed directions between any of the major cities in the game.
Thirdly, I felt that the scaled enemies and loot erode the element of danger and the pleasure of reward within the game world. Getting rewarded with weapons or armour that scale to my level for fighting enemies that do the same, isn't a patch on, for instance, venturing into a dungeon you shouldn't be in at your level, finding some bad-ass sword and barely escaping with your life, or simply stumbling upon some unique item, not in a loot chest or as an enemy drop, but hidden in a crevice at the top of a cave, only accessible via levitation.
Finally, for it's age and all the game's obvious and inherent flaws, the world of Morrowind feels so much more complex than it's modern counterparts - when playing it, I got a sense that the world was hand-crafted with a ton of attention to detail and a lot of obvious love, and that's something I've found lacking in both Oblivion and Skyrim.