Oblivion just has the coolest world to me. No shade to the alien world of Morrowind, but I really think Oblivion is where they nailed world diversity. Skyrim has varied biomes, but it still all feels kinda samey. Oblivion, on the other hand, has lush green meadows, forests, dark swamps, sunny coasts, and the MASSIVE Imperial City. Plus, every city has its own regional architecture. It just makes the world feel super inhabited, which Oblivion needs to offset the goofy ass radiant dialogue.
Oh, and try Daggerfall. Daggerfall Unity adds a ton of QoL features, and the scope of the game is genuinely impressive. Plus, dungeon crawling is super fun. It almost feels like D&D. I usually add in some small stuff; Daggerfall doesn’t accurately display dungeon entrances, showing ruined forts and other dungeons as literal holes in the ground most times. So I mod in a fix for that and a few other things, and it really doesn’t need anything else. The character creator is amazing in vanilla, too.
Daggerfall has a massive world, yes. However, you don’t really explore the world in Daggerfall the same way. Almost everything is generated, including towns, side quests, and dungeons. Most “exploration” consists of getting a quest in a town, finding out info from other people in the town, then fast traveling to the dungeon and exploring that.
It’s less like Morrowind onward and more like infinite D&D or older dungeon crawler games. In fact, the half-baked radiant quest system in Skyrim was an attempt to recreate some of that system from Daggerfall. Except Daggerfall has so many interesting variables.