I think Morrowind is great, It's the freedom I like.
If you want to make a pillow fortress and shoot arrows at the guards then by all means do so
Seriously, there are _tons_ of sidequests and stuff to do, guilds to join and spells to make.
You do have an ultimate goal, but you go there how you please.
There is only one thing wrong with this game I think. It's not random based as Daggerfall was.
And another thing that is great about morrowind, If you want to be a better thief, you steal things and not fight, you want to be a better magican, you use magic.
Its all about building up power and wealth and do what you please.
And not to forget, Morrowind is very mod friendly so you will find lots of cool mods all around.