For me it was the other way around. With some very few exceptions I found the Skyrim quest boring and too afraid to do anything fantastic. Oblivion was way better in that regard, but lacking in dungeon diversity and action gameplay.

This also seems to be the general consensus among TES fans. Morrowind has the best roleplaying depth and potential, Oblivion has the best and most varied quests and Skyrim has the best level design and combat.