Well, I never finished Morrowind. But I did play Oblivion viciously.
Skyrim offers a greater landscape than Oblivion - by a lot. The world is bigger, you can explore mountains/forest/caves. While in oblivion it was pretty much... long boring plain with trees and caves every now and then. Skyrim is much richer when it comes to terrain.
In Skyrim you can still buy a house, but now it they feel more like home. You can actually put stuff of your own on display without having to access mods.
You can also get married. (If you own a house, your spouse will wait for you there).
The new perk system is a love or hate it. You should build your own opinion on this. It is similar to fallout's.
Now, you are not forced to pick primary or secondary skills anymore. You just play how you like it, and level up. You only pick a race when you begin. So no more classes.
Questing has changed too. Secondary quest are "random", you will never run out of extra tasks... and they are presented in a not too obvious fashion. It is nice to walk in a tavern, hear NPCs talking about some "mystery" and following into a quest.
Which brings me to the world.
If there is something that adds immersion in this game it is the atmosphere. When you step into the game, you feel like you are in a world that is alive and you are the new guy in town. If you normaly get sucked into dialogs and lore. This game is definitely for you. (This is definitely an improvement over what I played in Morrowind).
Of course, all the mechanics that have been added/improved also affect the way you interact with the game. For example, smithing/enchanting but you can find those all over the internet.