I think I am going to get Morrowind as my first foray into the Elder Scrolls. The reviews are all great and I don't mind it being a bit older. (It's also a lot cheaper than Skyrim).

Question: I see the GOG release comes with Daggerfall as well. How is that game? Is there any reason to play it before Morrowind?

Daggerfall is a decent game, but it is famous for being rather buggy. (It even earned the nickname Buggerfall.)

Then again, Morrowind is also rather buggy, and in fact, pretty much every Bethesda game is rather buggy. I have fallen through the floor in both games, for instance.

If you are going to play Daggerfall, I recommend saving early, often, and in multiple slots. (Why does the game limit you to 6 save slots, particularly when hard drive space, even at the time of release, should have been more than enough to handle more than that?)

No reason to play Daggerfall first. Daggerfall is old school, so when starting it up, you will be a bit "lost" in where/what to do. Then again, Morrowind does that a bit too, haha!

Both games are quite similar, just Daggerfall has older graphics and the area that you can explore is a lot bigger than Morrowind. As in, your character can walk for days in realtime and not reach the other side of the playable area. Of course, once you see the graphics, you can see how they could do that.

I'd say play Morrowind first. You can do Daggerfall afterwards or maybe the fan-remake of it whenever it gets done.

Thanks both @dtgreene and @ZyloxDragon for the advice. I'll start with Morrowind.

One other difference that's worth noting: Daggerfall's world, I believe, was procedurally generated. The world will always be the same every time you play, but it appears to have been procedurally generated at one point. As a result, everything will look like random maps. This is why the world can be so big, and why dungeons can be a convoluted mess. (I have seen the term "mating octopuses" used to refer to Daggerfall's dungeons.) I can also note that Daggerfall's non-story quests are random and infinite in number much like the "Radiant quests" of Skyrim.

Morrowind, on the other hand, is hand-made. Everything in the game, I believe, was placed in there by the designers (aside from certain random enemies that re-spawn). There are only finitely many quests, and once you do them all, that's it, but each is hand-made by the developers, allowing them to be more interesting and varied, and there are still a lot of them (you aren't likely to run out of quests).

One other interesting difference: In Daggerfall, fast travel, while not technically mandatory, is *almost* required; you can walk from one town to the next, but doing so takes a long time and has you travelling through a barren, featureless, wasteland. Morrowind, on the other hand, lacks fast travel from the map, but travelling from one place to the next is actually quite practical and can be fun, as the landscapes are far more interesting and varied. (Actually, having them be interesting *at all* would be a step up from Daggerfall here.) (By the way, in Arena, fast travel *is* required; you can't go from one town to the next withough fast travel.)

Character creation in Daggerfall is a mess.
There are many useless skills (like the languages for example) and traits to pick but if you know what you're doing you can create incredibly powerful characters.

Character creation in Morrowind is a bit more balanced although The Attronach seems like a must-pick birth sign to me.

you can get e blessing from a shrine/altar to fill up again

One word: Alchemy.

Yes - blessings, potions, .... I didn't say it's not possible to regenerate magic at all. Atronach gives you more magic, but you have to work for it, so-to-say. It may be a "must-pick" for some, but not for all, and definitely not for beginners.
I myself prefer Mage - more magic than average, but less than Atronach, and it regenerates while I sleep.
Others may chosse more strength- or stealth-related birth signs ...

By the way: Atronach is a much more interesting choice in Oblivion, where magic regenerates constantly and at quite a high speed (too high in my mind), unless you choose Atronach or reduce it with a mod.

There are some ways around this.

My favorite way is to summon an Ancestor Ghost, then attack it to turn it hostile; the spells it casts are expensive (so you absorb a lot), but don't actually hurt you that much if they hit. (Just be aware that, if you have an attribute fortified, that attribute drain acts like damage.)

Also, magic items will still regain charge over time, so you can just make items for your most commonly used spells (using lightweight items like Expensive Rings where possible), and use them for the majority of your magical needs. In particular, having an item to summon that Ancestor Ghost can come in handy. Unfortunately, the fact that Alchemy doesn't have any reasonable limit on its power makes it hard not to break the game apart when using this skill, so I don't use it in Morrowind, except when I *want* to break the game apart.

It's worth noting that resting will cause every other actor in the game to recover as though they had rested. (This matters if you run from an enemy, then rest to recover; the enemy will also have recovered.)

In Oblivion, if you are regenerating Magicka too quickly, you could slow it down simply by using a console command to reduce Willpower; no modding necessary.

I have always preferred Daggerfall to Morrorwind although I enjoyed both games. Although there is a pretty deep main quest to follow in Daggerfall with branching points to get different endings it has more of a focus on character building. Although I have played through the quest a few times I found doing the random guild quests to be more enjoyable. I also have a tendency to make new characters when I do play it to try out different paths. In my circle of friends it earned the nickname Daggersave. I usually had a save before I accepted a quest then one I used while I played along, this strategy usually limited me to 3 active characters. If you are going to give Daggerfall a try I wouldn't use the steam version, there are links on this board to better versions that include a lot of community fixes and content.
While there is quite a bit of character building in Morrowind it had more of a questing focus, you can of course completely ignore the main quest to do your own thing. It just seemed more designed to walk you through the different areas the developers hand made. Some of the things that turned me of the vanilla game is the menu system and how blatantly obvous the RNG hit system is, there will be times where you appear to hit but do no damage. Daggerfall used a similiar system but it seemed more papable maybe because a lot of the hit/miss was audio not graphical. The balance of the monsters you fight seemed better in Morrowind if you follow the main quest. Of course if your strike out in a direction all bets are off but it didn't seem to have the habit of sending you into the lair of an Ancient Vampire at level 3 like Daggerfall did. There is also many mods made with the creation engine that can greatly change how the game plays so in that sensse it is a lot more customizable then Daggerfall.

Nice summary! Although I myself prefer Morrowind, but that's a personal sentiment - I don't like the too similar and too convoluted Daggerfall dungeons - too exchangeable and "un-immersive" for my taste (which includes, to a degree, the hand-designed main quest dungeons, too, as these use the same building blocks and structuring philosophy). Of course, there are navigation strategies, and I can use the cheat teleporting me to the most interesting places of a dungeon (with no safe way back - with that said: I'm aware of the "Recall" spell). But I don't like to play in this way.
To save before you accept a quest makes sense for Daggerfall, due to the huge difficulty variation of these quests. And that the game can't handle more than 6 savegames is an issue.
But why don't you simply use several different savegame folders (holding 6 savegames each) to swap savegames manually in and out whenever it's convenient for you. Either have (at least) one savegame folder for each character you play, or have one savegame folder with the most recent savegame for all your characters (which limits the number of savegames you can operate with simultaneously) and a few backup folders for older saves. It's more effort than simply saving and loading, but still acceptable - for me at least (I use one or more folders for each character, as I don't play more than one character in parallel during a single game session).

Alt-F11 (IIRC) says hi; if you use that key combination immedieately after reloading the save (or starting a new game), you will warp to the dungeon entrance. I use this when I play in order to skip the tutorial dungeon.

Not quite. Here's a quote from the patch notes:

ALT-F11 - If you fall into the void, pressing this will take you back
to the previous object you were standing on. This can help you get
out of the void when you fall into it.

[ and ] - If you're in a dungeon, these keys will cycle you through
the various quest locations. Be careful though that you don't beam
into a location that is occupied by a monster. You will
be trapped inside the monster. Also, some locations are high enough
to pop you into the void when you beam to it. This can be useful if
you fall into the void or can't find the quest item you're looking
for.

According to my experience, the dungeon exit is normally not among the "quest locations". Perhaps the starter dungeon is different (I use either a savegame from the starter dungeon exit, or, when I try a new character configuration, I simply run to the exit, it doesn't take more than some 3 minutes, if you know the way :-)).
At any rate, to be able to teleport to important locations of a dungeon is very useful, especially when combined with the recall spell, anchored at the dungeon exit. People may call it cheating, I call it enhancing the fun I have when playing Daggerfall. And every now and then I do explore a full dungeon without using teleportation and recall, simply because I feel like it, and then I do enjoy it, too.