You can complete the Mage's Guild with little or no actual experience in magic, and they still call you the archmage. There are no stat requirements for advancement, just quest requirements. Not only that, but you can have one character complete all the factions. There are no other factions to join, and each one has somewhere on the order of 10-15 quests, including the little mini-quests at the beginning just to whet your appetite. In Oblivion, you still have your 3 guilds, and you have the Dark Brotherhood. If you got to the top of the Fighter's Guild, people reacted to you differently. Even then, some were mutually exclusive, making you really feel like you were in the world.

Morrowind had the 3 Houses, the Fighters/Mages/Thieves guild, the Morag Tong, the Imperial Cult/Legion, and I'm sure I'm missing some, all in addition to the main quest. Sure, it has dungeons littered about the landscape, and there's no shortage of adventuring, but there are not nearly as many factions. One of the main problems with Oblivion is that it doesn't have the same world depth that Morrowind had.

Morrowind merchants with most gold