It does feel overwhelming at first.
I like to plan out what type of character i'll be, and then almost immediately (after doing a few introductory nearby quests like the Arena in Oblivion) I go join a guild that would suit my character.
Then i'll mainly just wander around looking for interesting shit and stumbling upon many sidequests. I think I have ~100 unfinished misc quests in Skyrim right now.
It's fun to run around in the wilderness, and when a little icon appears on your compass, go find out what it is.
I love when people try to say that the newest game in a series (Skyrim, for example) is the "shittiest" game yet. "They totally dumbed it down for casual people, blah blah, they just wanted sales, blah blah, Morrowind is the greatest game ever, blah blah."
The nostalgia factor isn't in the equation for Morrowind with me, because I never played it until after I had played Oblivion, so I can safely say that it has aged terribly and isn't really that great of a game.
Skyrim does have the best leveling and perk system of all of the Elder Scrolls games, hands down. It's also superior to Morrowind and Oblivion in pretty much every aspect (maybe not terrain. I kinda prefer the greenery in Oblivion to the snow-covered landscape of Skyrim.)
The only thing I don't like as much as Oblivion is the magic.
Skyrim has a better way of actually casting the magic and stuff, but Oblivion has cooler spells and the ability to create your own spells, which I loved playing around with.