I agree with Scotty: Morrowind GOTY Edition blows both Oblivion and Skyrim to the deepest darkest pit. Of course if you play Oblivion with the Morrowind mod then you've got the better part of both worlds. Too bad they still haven't finished Skywind, the MW mod for Skyrim. Only way to make any of those three perfect would be to have Daggerfall in them with updated graphics and gameplay.
If I had to absolutely pick one of the two, then I'd be saying Oblivion simply because of the questlines. They both have similar modpacks, even if those seem to be too heavy on the cheats.