Unfortunately I never got to play Arena, Daggerfall, or Morrowind. Oblivion was the first TES I played. I enjoyed it immensely. But Skyrim is far better. The size of the world, the cool NPCs, beautiful environments, and cool faction quest lines make it an amazing RPG. I really enjoy doing the Daedric, Dark Brotherhood, and Mages Guild quest lines. The Thieves Guild and Companions are also really fun. The Dawnguard DLC was fantastic since I got to become a badass vampire lord.
One of the best things about Skyrim is just wondering around the vast world exploring different areas. I've spent so much time just journeying up mountains to kill dragons and exploring new dungeons. I've already put over 300 hours into it. And with new DLC coming out, I know I'll put a lot more.