It's a stunning, stunning improvement over Oblivion and far closer to Morrowind in some terms of thorough design and execution. Not to mention, as primarily a magic class player, using magic is far better balanced and more exciting/fun to play in Skyrim as compared to both Oblivion and Morrowind. The world design is fantastic, and I find myself hammering F12 every 2 seconds just snapping screenshots of all the vistas. I started playing Friday morning and essentially ignored the world all for Skyrim Weekend, notifying those close to me I will not be around, and I've embarassingly logged 40 hours Friday morning-Sunday night...and I've only fully visited 2 of the 9 cities and completed the Mage College storyline. I haven't touched the main quest aside from getting my house in Whiterun. The first time I heard the Greybeards shout "DOVAHKIIN," shaking the world with a crack of thunder I nearly shit my pants it was so awesome.
As I said earlier, I'm playing a mage and it's an immense amount of fun. Oddly my most dangerous opponents are other mages; lightning also drains magicka so you're always starved [though the restoration perk of wards absorbing magicka is a lifesaver] and they tend to dismiss my Atronachs. I actually like how the scaling works in this game; yes you'll start finding more Elven and Ebony armor on bandit chiefs and maurauders but you do get a sense of progression, bandits and random encounters are easier while dungeons containing named loot and certain dragons are always challenging fights.
Morrowind was deeper than both; the lore and atmosphere was more immersive. Morrowind demanded that you be immersed or you wouldn't know how to progress through the game. If my memory proves me correctly, Skyrim features a "dragon shout" that traces the way to the next objective/checkpoint? That sounds like a streamlined arrow/compass system in lieu of Oblivion's old coddle function.
As I said above, the world feels far more crafted and designed, which evokes the feel of Morrowind's uniqueness in terms of how it felt imagined and created rather that Oblivion's sense of generic fantasy copy/paste, however from a mechanics standpoint, yes Morrowind is deeper in the sense that you can really get in to the nuts and bolts of a variety of systems and begin to break the game. In Skyrim, while the world is your oyster and you are given immense freedom in how you navigate that world, the game is far more tightly controlled and restrictive [though still incredibly open in comparison to other games] with it's gameplay mechanics in order to ensure a well designed play experience. This is the reason that say, spellmaking has been removed from the game [much to my chagrin]; it is because the enemies, itemization, scaling is designed around those fixed focal points and abilities in order to deliver a more crafted and controlled experience. Also, the "shout" you're referring to is actually a spell, but I do not use it.
I do think Skyrim is just as immersive, if not moreso than Morrowind partly because of how well crafted it is and obviously, because of the graphical presentation.
