I know it gets a lot of stick for it, but I'd have to say Skyrim may be my favourite, purely for it's feeling that it's 'easier' to jump into and play, unlike what I felt from the previous ones (or previous one, as will be touched up on).
Morrowind was my first Elder Scrolls game. My younger brother got it on the original Xbox and I was blown away at everything it done. LordDVS pretty much says everything I have to say about it. To this day, that falling mage is still in my head. I loved the game so much, I bought it for the PC, GOTY edition if I remember rightly. Never completed the main quest, don't remember doing much in it at all to be honest. I was constantly starting new characters all the time.
I bought Oblivion for the PS3. And then again for the PC (again, the edition with all the DLC, though I think minus Shivering Isles). But I didn't actually ever start that, not once. I don't know why, not even till this day. I have been tempted to get it countless times for the 360, but never got round to it. Now that I have Skyrim however, I don't think I ever will.
Morrowind still has more hours clocked than Skyrim does, but I can imagine it'll become very close, when all DLC is released. I intend to see this one through.