If you liked Morrowind, you will probably like Oblivion. The only thing that Morrowind did better, in my eyes, is create a fairly unique setting. Oblivion is pretty standard fantasy fodder, but I do see it as having a more cohesive storyline. Also, the expansion for Oblivion is well worth it. Shivering Isles tells a pretty good story and it does a solid job of creating a couple memorable characters, which I will say was lacking in both Morrowind and Oblivion.
The gameplay is really pretty much the same in both. You might want a mod to change the crazy auto levelling enemies from Oblivion.