Both, if you can. They're both masterpiece sandbox RPGs. However, if you're only able to get one, I'll break it down a little for each game.

Morrowind has some of the deepest RPG mechanics you'll find in an RPG made in the 21st century so far. It also has an incredibly deep, epic storyline that truly makes you feel like you've earned your place in the world by the time you finish it. Its graphics are extremely dated by today's standards (though they're still very good in terms of the design/art style) but you can get mods to touch things up. Its expansion packs are both huge and enjoyable and it has a sizable portion of free DLCs you can grab (though not via the TES site anymore, sadly). Everything about Morrowind is genius level design, even if some of those designs were certainly meant for a specific sort of player, thus it's the less accessible game of the two. Its combat and movement speed are both common complaints from newcomers but thankfully, both can be easily fixed via mods without breaking the game. Even so, I recommend all people give the vanilla experience (with the Morrowind Code Patch) a proper, fair go before trying any mods.

Oblivion marries Morrowind's deep RPG mechanics with a more accessible, slightly more action-driven experience which creates a game that feels beautifully placed between older and newer RPG design sensibilities. Its setting is downright gorgeous (my favorite of the main TES games), the MQ story of the base game is less about prophesied heroes and more about rising to become the hero and its faction quests are (with the exception of the Fighter's Guild) the best in the entire TES series. Once you get to the Arcane University in the Mage's Guild questline, things get WILD. The Dark Brotherhood questline in Oblivion is some of the best writing in the entire TES series. The Knights of the Nine questline that came with the eponymous expansion/DLC (still not sure what I'd call it) brings some epic and lore-heavy questing to the game. Then you have The Shivering Isles which is, hands down, the GREATEST expansion pack in gaming history in my book. It adds a whole new world to explore, one that brings back the wild, alien-like vibes Morrowind has, while also telling one of the most enjoyable and epic storylines in the series. Its post-MQ rewards are also my personal favorite in the entire series and the overall setting is downright awesome. However, it does have some flaws as well. The aforementioned Fighter's Guild questline is rather boring (though it has its moments). The Mage's Guild questline is tedious to begin as you have to complete a mini-questline with each guild hall before you can go to the Arcane University. Its world, while gorgeous and fun to explore, is subjective to whether you enjoy more traditional fantasy settings or not. Its dungeon design is the weakest in the series, excluding, perhaps, Arena. To be fair, that's because there was only one dungeon designer on the game and the Ayleid ruins do still have a sort of beauty to them but it's still something to consider. It also was one of the first major RPGs that I know of which tried to use level scaling to allow the player to remain challenged at all points throughout the game; the problem is that, at higher levels, you'll find even common bandits putting up way too much of a fight. Mods can fix this as well, but it's the only OBJECTIVE flaw with the game that virtually everyone can admit to.

Altogether, both are downright masterpiece-level sandbox RPGs that I think every RPG fan needs to play. Neither are as accessible as Skyrim but both of them do a lot of stuff way better than Skyrim did (though Skyrim still has the best dungeon design and combat, IMO). Oblivion is my favorite of the TES series but Morrowind is just too great to avoid so definitely get both if it's at all possible.

If what I described above isn't enough, I recommend checking out the following reviews:
- "Why Morrowind is the best Elder Scrolls game"
- "Why Oblivion is the best game"
- And if you want a deeper review of Morrowind, "Why You Should Still Play Morrowind Today"

Also, I highly recommend giving Daggerfall a try as well, particularly via the fan-made Daggerfall Unity. It's a total port of the game over to the Unity engine allowing the game to run way better on modern systems, with a lot more modding capability. If you mod it, you can essentially create a fan-made "Daggerfall Enhanced Edition" with remastered graphics, improved gameplay, etc. Daggerfall had a much larger world than any other TES game, as well as even deeper RPG mechanics than Morrowind, but even with mods, it's still a much harder game to get into due to its more convoluted gameplay systems and the fact that the gargantuan, procedurally-generated world is just too huge to navigate on foot. Still worth trying, though, especially if you love old school RPGs and games that let you do virtually anything. It does some stuff better than modern TES games do, actually. Thankfully, Daggerfall (and the first TES game, Arena) come with any Bethesda game on GOG for no extra cost so it's completely free to play now.

Final Fantasy 8 is a major RPG that had enemy level scaling, and has many of the same issues. (One difference is that, unlike Oblivion, FF8 is linear, so it maybe doesn't have as much of a purpose here.)

SaGa games have also been doing something like level scaling since the first Romancing SaGa, and I think the RS games were quite popular in Japan back in the day (even if not as much as Dragon Quest or Final Fantasy); I note that RS3 is one of the most hacked RPGs there is.



Not actually true, as Arena's world is technically infinite.

Also, Daggerfall's world, while huge, is unfortunately rather empty and featureless; outside of places of interest (of which there are plenty), the world is basically a mostly flat featureless plain. (Well, aside from the Coast of High Rock region, which is the largest region (despite containing no towns and I believe only one dungeon), and is entirely ocean.)

Then again, I have had guards try to arrest me in the Coast of High Rock region, but when I surrendered, there was no court for them to take me too, so I just ended up with 1 HP.

Oblivion

Morrowind graphics are too dated.
Steam sucks.

(about Daggerfall)

Except that some of them are pointless (language skills) or outright broken (dodge skill, which reduces the accuracy of your attacks instead of the accuracy of enemy attacks).

Another criticism is that you can't turn off the Stealth skill, which is annoying if you want enemies to find you and attack, or if you'd rather not have that skill grow.

Both.
If you can't afford both - start-out w/ Morrowind GOTY and buy that.
Then buy Oblivion GOTY Deluxe later, once you get more $.

I played it before it was released on Steam, but as far as I can see you can still do that without needing a Steam account. Just scroll past the Steam widget and download the installer at the bottom of the page. Might not be the latest version but at the very least the version I played and enjoyed.