What I like about Morrowind is that, even though you're the PROPHECIED HERO and all that, it legitimately feels like the in-game organizations and characters handle it realistically, and you still start off as some random prisoner set free and forced to fill out census forms who has no idea what anybody wants with him. Even when the prophecy gets going, it's entirely justifiable to interpret it as the sort of "prophecy" that only comes true because someone makes it come true (to me it comes off as a massive scheme with Azura orchestrating it all). Basically, the game's story and characters have good interplay between the mundane elements (how people and cultures and organizations actually act) and the fantastical elements, as opposed to the generic "SAVE THE WORLD FOR OUR GLORIOUS KING" trash we normally have to put up with.
The one time that I actually bothered following the plot in Morrowind, this was kinda how I thought about it. I took the Jake Sully method - find out what I can about the prophecy, then make a conscious effort to look like the guy who fulfills it, so I get to be big awesome hero and reap the rewards. Especially since I did it as an Argonian, I was hoping the plot would recognize me putting a stick in the eye of all the conservative-dunmer jackasses you have to deal with. Like, doods, check it out, escaped slave here fulfilling your demi-god prophecy! Point being, the game made it sound like it was mostly boojum anyway, so I took that attitude to heart, of just being a mundane guy fulfilling prophecies for fun and prophet I mean profit.
Then after busting my ass with those stupid Dust-People and Indians and shit, I walked into the Cave of the Nerevarine and I was like, "I am in biiiiig trouble, mm hm."