In my opinion each TES game has its own strengths and weaknesses. Its frustrating because you can see the potential in the games, I guess that's why they have such big modding scenes.
Never played Arena/Daggerfall so no comment there, I'll give it a shot some day.
Morrowind's biggest strength is the unique alien handcrafted world that doesn't feel like generic fantasy. It doesn't hold your hand with quest arrows and gives you actual meaningful choices like picking which house you align with, which encourages replaying since you won't see all the content in one playthrough. It's biggest weakness is that most of the NPC's are static wiki-dumps that just stand in one spot for their whole life.
Oblivion's biggest strength is the general atmosphere and the radiant ai. I really like that NPC's have complex schedules they follow, it helps make the world feel more alive. It can also can make some hilarious events take place which will feel unique to your playthrough. I would say Oblivion has the most memorable questlines and characters, the whole Dark Brotherhood questline as an example is very fun and immersive. The weird silly atmosphere of the game and the jankiness worked perfectly for the Shivering Isles. Its weaknesses have been discussed here to death, but I would say the biggest two are the counter-intuitive leveling & scaling and the fact that the majority of the game is procedurally generated, which prioritized quantity over quality. After closing a couple oblivion gates who wants to do that 50 more times?
Skyrim's admittedly a trickier one to talk about with being biased because it's my least favorite. Most, if not all of the improvements are technical improvements, like graphics and sound elements. The scaling is a big improvement from Oblivion. While I wouldn't call the combat "good" it still feels like an improvement over the other games. But lets face it, combat was never a high point of any TES game or what draws people to the series. Lots of the scenery/visuals have held up extremely well. On the other hand lots of the RPG elements have been stripped down and simplified, and the faction questline's stories are mostly terrible. Dragons are an absolute chore to fight. Radiant quests are boring. So on and So on.