Because I'm a youngling, my first TES game was Oblivion. I remember seeing the cover of the GOTY edition, with its splendiferous lack of detail on it, and I remembered reading high praises for Oblivion in a gaming magazine... so I gave it a shot.
Truth be told, I quite liked it, though it had its silly bits. Hit that guard with your sword eleven billion times, and he's down only 33% of his health. Nope. Down you go, difficulty slider!
It was the first game I played of this caliber, where my character could buy a house and stuff like that. I enjoyed sleeping at night in my shitty shack at the ImpCity Waterfront, then going out in the mornings and jogging around the lake, improving my skills. Good times.
Skyrim was better though. I tried getting into Morrowind, but I couldn't. The bloody combat was dreadful... I'm fine with miss chances in a tactical battle setting, a-la XCOM or Divinity: Original Sin, but not when it's a first-person game.
I should really give it a shot again, now that I'm not a child anymore, and could probably stomach the mechanics enough to enjoy the setting and story.
Never played any of the others, unfortunately.