Morrowind is most likely the best. Why? Scale, power and options. It's big. There's always stuff you can do. Start it up, go do something, and before you know it, you have to check your journal to find out what it was you wanted to do. And it's the only Elder Scrolls game you can play unmodded, or with only cosmetic mods.
Then again, it depends on what you want to do. While there is no fast-travel or quest compasses, you can run or jump like a rocket, or levitate. At the start, you're a total whimp, but after a while you can really feel all-powerful. And while that might make linear games boring, there is just so much to do and explore, that it never does. And who wants to spend minutes fighting wildlife or bandits?
If there's too much level scaling, or you and the enemies always stay equally bad, it is a drag from the get-go. On the other hand, boss fights suck.
IRL, fights end fast. Hit or get hit, the end. Weapons are designed to kill. Making games "challenging", by having every fight take minutes, is stupid and boring. If you hit someone, they should go down. And if you want fighting to be the main game play, you have to be nearly immortal or use your "load save game" superpower to survive.
"Challenging" only works for multiplayer anyway, because that requires a level playing field and the other players can be God-like as well. And while a really smart AI sounds great for single-player games, the percentage of people who want that is a single digit.
Which leaves: exploring, see the sights, do the quests (as long as they require some thinking and are not simple fetch quests or go there and kill). Multiple solutions, simulation, emergent game play. But for the last 15+ years, the focus has been on graphics and voice acting. More quests and more possible solutions mean an exponentially larger budget for voice recording and graphics. And it means, that nobody experiences all the possibilities, which is nowadays translated to wasted investment money. And thinking like that, things have to be either lineair, or completely procedurally generated, including the voices. Or, in other words: on rails, or not making much sense.