I've always been a thief.
There's a bit of a learning curve to some aspects of the game so keep that in mind - I never learned about stuff like soul gems and enchanting or magic spells early on, so my character was pretty deficient in a lot of areas as a result.
Although, I think it speaks to the awesomeness of the game that without really utilizing either of these two facets of the game it was still a [censored] blast.
Also, apparently walking around killing random dudes isn't always the best idea either. I saw some dude in one of the gates to Red Mountain who was wearing a bunch of glass armor and I was like ZOMG I MUST HAVE THIS and slew him in cold blood. Like 42 hours later I was trying to advance through the Thieves' Guild ranks and the dude who gave me quests wouldn't let me do it, and he said something about killing some dude and I was like "who??" so I loaded up the editor and oops, turns out that guy in the glass armor was kinda important to the Thieves' Guild.
I'm still undecided as to whether it's awesome that doing something like that in the game could have those kind of consequences later or if it's bad design to not give me any kind of warning about who this guy was, but either way I think it's kinda cool that they give the player that kind of choice.
The only real problem with Morrowind is that Oblivion handles a couple mechanics way better - for example, fast travel (Morrowind = walk almost everywhere, although there is fast travel between the main cities of the game via boat and silk strider) and selling stuff to shopkeepers (in Morrowind, the richest shopkeeper in the game only has $10k gold (and fwiw, he's a talking mudcrab who lives in the islands east of Vivec, lol) and he won't give you more than that for items, so to sell something worth $100k you have to sell him ten $10k items (leaving after each one), then buy them all back at once so that he has $100k gold and then
you can sell him the $100k item - kinda a PITA).
But despite that, the overall game of Morrowind from a gameplay/story standpoint is way better. I think the guild/house system is way better - in Oblivion it's pretty easy to become grandmaster of anything you want, but in Morrowind there are three great houses, each with their own huge quest lines, and you can only pick one of them to be a member of and then you're a member for life. And the difficulty is handled much better (in Oblivion you can beat the whole game as a level 1 cause the monster difficulty is scaled to your level, which is just ridiculous and a poor design choice imo) so beating the game feels like much more of an accomplishment.