Based on graphics (even at lower levels) - Oblivion.
Based on main quest plot - Morrowind.
Based on number of side quests - Oblivion
Based on character generation options - Oblivion
Based on GOTY edition (so far) - Oblivion
(MW: I haven't gone through Tribunal completely, and haven't touched Bloodmoon yet.)
Based on challenge of play - Oblivion
Based on NPC interaction with character - Oblivion
Based on those cool Telvanni Towers - Morrowind
(I had to give Morrowind another point somewhere.)
So, nearly hands down, in my opinion - Oblivion's better.