...the Daggerfall to Morrowind transition is more jarring.
The departure of Lefay, the arrival of Kirkbride, and switching engines from XnGine to Gamebryo probably have something to do with that.
Daggerfall (compared to Arena) gave us a more interesting story and background, random quests, better character creation, "Halt!", a single overworld, and 3D environments, but also useless skills, nonfunctional factional intrigue, nonsensical proceduraly generated dungeons, less diversity in the world, a featureless overworld, no PASSWALL, and bugs galore.
Battlespire and Redguard are not worth mentioning.
Morrowind gave us 3D graphics, a more exotic story and background, loads of history, more diverse loot, a handcrafted world, handcrafted dungeons, proper modding, reduced level scaling, neatly categorized skills, voices, simplified interaction with the Daedra, alchemy, the ability to place anything anywhere in the world, and compelling side quests, but also a significantly smaller environment with no real ability to just get lost in the world forever, no random quests, highly simplified character creation, emptier cities, no ability to ask NPCs for directions or their opinions, simplified interaction with the Daedra, no horses nor carts, no fast travel, no banks, and fewer useful skills (and largely discarded the nonfunctional bits of Daggerfall).
Oblivion gave us fancy graphics and physics, Radiant AI and NPC schedules, NPCs talking to each other, gear modification, runestones and doomstones, celebrity appearances, a return of horses (but still no carts), a return of fast travel, active blocking, and a more grounded and understandable story and background, but also paid DLC, fewer skills, fewer spells, simplified combat, increased level scaling, an almost featureless landscape, celebrity appearances, the lockpicking and persuasion minigames, no container traps, unsafe loot containers, a less diverse world, closed cities, and arguably resulted in something closer to an action game dependent on player ability than an RPG dependent on character development.
Skyrim gave us even fancier graphics and physics, streamlined combat, shouts, dragons, perks, a return of randomized quests in a reduced capacity, and a slightly edgy and gritty story and background, but also even fewer skills, fewer spells, no spell making, no persuasion whatsoever, significantly reduced the presence of guilds, and arguably further became more of an action game than an RPG.
(I'm sure there are things I've missed or not gotten correctly.)
In short, each game is significantly different from the last, and people tend to get strong opinions about what was better. The only thing strongly tying them together is the background, story, and lore, not the gameplay. So, from a gameplay perspective, everyone might be better off ignoring that they are prequels/sequels of one another; or in other words, one shouldn't consider Oblivion to be "improved Morrowind" when deciding which game to play (and the plots aren't even tied together except for here and there in the background).