I started at Morrowind and I've been a big Elder Scrolls fan since. Both of these games have advantages and disadvantages over each other from what I've seen so far, which I've detailed below. For me, I'm pretty much a mix of all 3. My specialization is in stealth because that's what the majority of my major skills are, but my emphasis is really in the magic. Of course, I certainly don't neglect the arts of combat, though I didn't choose any fighting style for a major skill. I really enjoy being a thief the most, because I enjoy being a ghost in people's minds. Being able to go wherever I want and do whatever pleases me just tickles me greatly. Fighters can only make stuff and bash things. With magic and stealth, I can really do whatever I want with the world.
Size
Definitely seems smaller in comparison to Morrowind. Still fine, but kinda lets me down.
Levels
I agree that it's too easy to level up here. I've barely done anything in the game and I'm already around level 20. I think it's 19, but not sure (roomy's using the 360 right now). At the same time, though, most of my skills are in the 20s and none have reached the 50's, so it could just be my current place in the game doing that.
Resting
I'm truly disappointed that you don't get to rest anywhere like you did in Morrowind. Now not only do you need a bed, but you need a bed that you are officially authorized to use. That reeks of awfulness!
Weapons
The attacking style itself is certainly superior here. However, I'm disappointed that the wepons got condensed so highly . Now there's only blade and blunt. Used to be we had long blades, short blades, blunt, axes, and spears. Anyone who's even played Soul Calibur knows these all work differently and should have their own skill.
Block
Eh, I can live with this. It was automatic back then, and manual now. I suppose that's for the best considering that everything else about blocking is different now. I find no real fault here.
Acrobatics
I must say, this is a very interesting improvement. While all but useless in Morrowind (just higher jumping and mid-air maneuverability), it actually gives new abilities.
Magic
I love this system! Whenever I did magic in Morrowind, I basically just did my Atronarch/Ancestral Ghost trick to let the ghost recharge me rather than sleeping all the time. Now I can actually do this stuff naturally, and that feels great. It makes combat a little easier, too, because I'm able to fight bigger things with all the healing I'll be able to generate. My only problem is that you're pretty much guaranteed for the spell to work, which while it feels more natural, doesn't feel as realistic. I like Elder Scrolls because it's more realistic than other RPGs tend to be, and this part disappoints me. Heck, I'd like to see spells have a random chance of success where the spell could possibly do something other than what you wanted it to do!
Speechcraft
Horrible. Just horrible. You're forced to do 4 different kinds of conversation in a little mini-game. I'm all for putting more involvement into the game, but this isn't the way to do it. It's only slightly better than Morrowind's version because that one was so boring. On a related note, mercantile is essentially the same so I can't complain.
Security
I hate this. It's not that I can't do it, it's that I can do all of them with little trouble. I almost regret making Security a major skill here. A bad lockpicker shouldn't be able to get through the toughest locks in the game. Now, maybe I'm mistaken here. Maybe the "need a key" doors can be picked at high enough levels and maybe the lock levels get easier as your skill increases. That would be a good compensation. It does work out, though, that picks are significantly harder to find in here.
Sneak
Very interesting improvements. I just starting playing this after doing Splinter Cell on the Wii, so I was very intrigued to see the new stealth elements.
Conjuration
I loved being able to summon up an entire army in Morrowind. Now I'm restricted to just 1? Sure, I can soul trap them now, but even if the enchanting system were the same as in Morrowind, it wouldn't make up for this. I know this isn't Baldur's Gate, but I should still be able to have all my creatures working together. I have not gone through the main quest yet (and yet I'm around level 20 already), so I'm sure there's some kind of reason for this.
Alchemy
Much easier to improve and I applaud that. Alchemy was a horrible mess in Morrowind. Not only did you have to travel across the country to reliably get the ingredients you need (I'm excluding purchase because vampires seem to favor this skill), you had to train for the olympics to get it anywhere reasonable. Now it's much easier to improve and use the raw ingredients.
Enchanting
I would've preferred to just make this easier to perform. It was as much of a mess as Alchemy, but at least it wasn't as difficult. Still too difficult to do, though. In order to make anything that wasn't simply another form of training, you had to have exceedingly high skill. I've also buffed out my enchanting skill beyond 100 in Morrowind to get some super-items and I still couldn't get them most of the time. Keep in mind, I have not created any enchanted items in Oblivion because I haven't fully explored it yet. Morrowind scared me off, so I'll get to it eventually.
Guilds
I'm severely disapointed that there are less groups to join, but at least the Thieves Guild seems more realistic. In Morrowind, you could just walk into a guild home, ask to join, and be in. You have to actually work for it here.
Arena
Finally, let me just say that I've beaten the Gray Prince in the Arena and I couldn't be more unhappy about it. I was hoping he'd be like Umbra of Morrowind. Now there was a suicidal brute with some honor, but this guy just depresses me. I'm sure I've spoiled it already, but those of you that haven't beaten the Arena yet, carefully consider whether you want to complete his quest. If you want to earn your title, don't complete it. It seems like more of just a cheaty method. In fact, the whole Arena seemed like something out of Yu Yu Hakusho (no offense to YYH).