Did you just insult the magnificent Terence Stamp? How very dare you!
Anyway, yes, of course Dagoth Ur is a far better villain than Mankar Camoran. And I agree that for the most part, Oblivion was a very ill-advised step backwards into generic high fantasy cliché, so I won't spend much time defending it. But, like I said (although I should have spent more time explaining it, as nobody here is a mind reader [or are they?]), writing encompasses more than putting one word in front of the other in a way that sounds good. There's also the basic structuring of the plot and how it's presented to the player, and there Morrowind struggles.
Look at the beginnings of these games, for example. In Morrowind, the story begins with the Emperor using his influence to have you, a prisoner transported to Vvardenfell and released. This sounds promising, he must have big plans for you! Or maybe not. Apparently it's just to offer you a job. It's not a very good job, either; you're basically just Caius's gofer. And that's it, at least for the first solid chunk of the main quest. It's not until you're several quests in that they finally bother to tell you what's so important about all this and what it has to do with you. Until then, there are no stakes. There is no motivation. There is no reason for you to give a fuck about any of the inhabitants of this island. Gods know they don't give one about you.
We'll skip over Oblivion because that game begins almost as badly as it ends. Skyrim, however, handles it better than both of them. The introduction at Helgen sets the scene nicely, establishing both the threat that the dragons pose and how the civil war is ripping the land apart. Your involvement in the events that follow feels natural rather than forced - you're one of the few survivors of a dragon attack, so it makes sense that you'd be recruited in the aftermath to try and deal with the threat. And your identity as the chosen one is revealed after you kill your first dragon, by way of a wondrous display of magic that grants you amazing powers. That's how to start a game off right. Show rather than tell.