I always thought Oblivion was a much better setting than Skyrim, but I replayed Oblivion recently and I realized nostalgia was doing a lot of heavy lifting. I came away not knowing really what to think. Oblivion still held up and was clearly a great game but it wasn't perfect and was a bit dated (Jeez I mean skyrim is also dated lol). Maybe everyone just kinda feels that special something about their first ES game lol.

Edit: I should add, I also played Morrowind somewhat recently (much longer after playing the original two) and it was also a great game but didn't seem necessarily better than the other two.

Edit: Edit: I also played daggerfall, it was very ok lol

Edit: Edit: Edit: I also played ESO, 5/10

Skyrim was a significant improvement over Oblivion, in every way I can think of. Only Oblivions quest lines were better, but that's not what I go to an open world game for (and I found the extreme mismatch between the cinematic plots and open world gameplay immersion-breaking). And while Morrowind has a much more interesting setting (and the plot weave that encompassed that setting was brilliant), Skyrim was the first entry since Daggerfall to really give me a decent first person action RPG feel.