Skyrim > Morrowind > Oblivion
Morrowind is an awesome game. That said there are some annoyances that you will quickly notice.
1. It is very rare that you will hear someone talk. Heck the only talking I heard outside of random npcs saying a quick one liner as you pass, do something stupid, or kill them is the deadric quests when they speak to you. Which means you will be doing a lot of reading.
2. Combat is wonky. If you choose to pick up a melee style of fighting be prepared to be swinging at mobs for quite a while until you build up your skill in said weapon type. Oh and there are a ton of various weapon types you can level. Maces, swords, axes all come in one and two handed versions. Swords also come in short and long blade. Daggers, polearms, staves, etc...
3. The biggest pet peeve of mine, mainly due to playing it on the console, is the bloody journal. But since you are picking it up on Steam you can easily mod that out and get a good one. Or if you pick up Bloodmoon expansion with it you can use the updated one.
That said if you do start playing it and want to find a vendor that has a good chunk of change go to Caldera and go in the three story Orc house,
(I don't quite remember the name) Ghorak Manor. On the second floor there is a scamp that will buy any weapons, armor, drinks you have at face value. Really nice when you run across a deadric dai-katana and want to pawn it off (the thing goes for 120000g). You will just have to wait a day for his gold to restock.
PS - If you drop something it tends to stay where you dropped it at. I use either the mage or fighters guild halls in Balmora as my temporary storage (alter area and bedroom area downstairs respectfully) until I get around to building my base.
PPS - Regardless what fighting style you pick make sure to get levitate. That is all I'm going to say about that.
Edit: Figured out the name of the Orc's house in Caldera.
Edited, Dec 13th 2011 1:08pm by Criminy