Got Umbra very early as a battlemage. Now my player might as well be a warrior as I just keep swinging with it.
Changes the game.
Certain items really do change this game.

... if you use them. You don't have to!
Another example are the assassins who attack you from the beginning (they belong to Tribunal, and can be de-activated by a mod, or by completing a task). Their armour is over-powered when you use it yourself (at level 1), or breaks the economy (by selling it you get too much money too early in the game, especially when you defeat several of these guys).

It's a game about decision-making!

There's other items that change the game significantly:
* Boots of Blinding Speed boosts your movement speed and accuracy at the expense of not being able to see. (Note: Both the Morrowind Code Patch (via an option that's enabled by default but can be disabled) and OpenMW make this item lower accuracy instead.)
* There's those Scrolls of Icarian Flight that provide 1,000 points of Acrobatics. Use one of them and jump, and you go very high. Needless to say, this item is very useful in a speedrun.
* Custom emchantments, particularly Cast on Use enchantments, can also be game changing. For example, with the Atronach bitrhsign, use an item to summon an Ancestral Ghost, turn it hostile, and you can get some of your Magicka back.
* And, of course, you can break the game with Fortify Intelligence/Luck potions. If your Luck is in the quadruple digits (or even just the upper triple digits), the game becomes comically easy.

Arena also has some things that are game changers:
* Auriel's Shield creates a barrier that blocks the next 750 points of damage you receive. This is huge, particularly since it's highly unlikely that you'll get this much health, even if you're a Barbarian. (With that said, casters can create even stronger barriers with custom spells.)
* Weapon that casts Lifesteal or Firestorm can be used as your main attack; these items have enough charge to last you through even bigger dungeons. (Especially true if you're a Knight, who slightly repairs equipment at midnight.)

Speaking of Auriel's Shield, what's with its lack of an enchantiment in Morrowind? (To be accurate to its Arena version, it should probably have Resist Fire, Reflect, and I'd probably replace the shield effect with Fortify Health. Trapping enemies in soul gems and selling the resulting filled gems breaks the economy even more. Filled soul gems are really overpriced in this game.

(Reminds me of how Wizardry 8's potions, particularly Renewal Potions, are more expensive than they probably should be, though it doesn't break the economy as badly as Morrowind's soul gems.)

Even then, you're not going to get even close to their full value, as no merchant has that much menu. Not even close.

Even something weaker and far easier to get, like an Ancestral Ghost inside a common soul gen, is still going to be enough to get almost all merchants to part with all of their money. It gets to the point where, for it to be worth selling this item, you should buy items from the merchant first, just so that they'll be able to afford the gem, and with the stronger gems, not even that will be enough.

Then again, you can also take all of a merchant's money just by raising your effective Mercantile score high enough. (I don't remember how high, but I'm pretty sure it's something like several hundred; 100 in every stat and the Mercantile skill isn't enough.)