I've only played Morrowind and Oblivion. Between those two I'd pick Morrowind. I liked wandering around the world and exploring. I also liked swimming in the ocean and finding all the remote caves and stuff. I liked walking along at night looking at the moons and stars. Oblivion just didn't suck me in the way Morrowind did. It seemed more tedious and I was never able to finish it.
The main reason I haven't played Skyrim is I hate how all the new games require Steam or some other online activation to play.
None. All Elder Scroll games have the same issue. They are incredibly big, gamplay wise fairly decent - but what they have in size of the worlds, they lack in soul of the game. The storytelling and -pacing is aweful and it often just appears empty. Not empty in flowers and NPC, but empty in having impact on where you go. It's all kinda the same.
Of the ones I have played Skyrim is by far my favorite. I wanted to like the others, but just couldn't. The combat was just too clunky in the other games. I think they finally got it right with Skyrim.
I've played through morrowind, oblivion and skyrim. All these are awesome. But I just felt like morrowind was just so much bigger. So its a difficult choice between Morrowind and Skyrim. I guess I'll go with... morrowind.