Morrowind. It doesn't have the best graphics, and the combat system isn't good, but it's one of the best games I've played. The storytelling, and the world in general, support you entering as a nobody and coming out as - well, I won't say for the sake of spoiling - far better than the later TES games do (look, I've just seen the emperor assassinated! I'll walk off and join the mages' guild! Yeah...)
I don't want to hype it too much, but if you enjoy rpgs like TES but have been irritated by the consolification of later releases (oh look, every heavy armour has an equivalent light armour. What a coincidence), I'd recommend trying out Morrow some time.