Personally I actually find morrowind to be a superior game. The NPCs have better dialog, there are more guilds/factions, the game world is much larger and is significantly more diverse. There are more skills, weapons, and armor to choose from, the interface is significantly better on the PC, creatures only partially scale with your level and different areas have more or less difficult creatures. There is much more mystery and political intrigue surrounding the plot, etc etc.
There are only two areas where I think oblivion really beats morrowind. It looks nicer, and the combat system is better. Even the graphics were a let down though, as the distance textures are absolutely terrible if you don't download one of the "fixed" texture packs. The water gets ugly in the distance and can't be seemingly fixed, increasing the number of cells that load at once causes all kinds of strange glitches... Over all I'm pretty disappointed with it.
Nite_Hawk