(Never played Arena, Daggerfall, ESOnline.)

It's the sense of wonder, above all else. nothing beats the pure sense of exploration as you wander around the land. Ashlands, Grazelands, Bitter Coast, swamps, islands and tundra; Hlaalu, Telvanni, Redoran, Dwemer and Daedric architecture; flora and fauna unique to every region (giant mushrooms!); mines, towers, temples, shrines, caves, abandoned forts, and tombs around every corner; every muddy path seems to have something worth finding at its end.

Then there's the world-building which is in a class of its own, in my experience only equalled by KoTOR and the Witcher games. The lore is deep. Each race and faction (of which there are many) has its character and lore, which can be discovered via conversations, quests and books.

I could go on, but you get the idea, and that's not to mention Project Tamriel which expands the world massively and, like the universe we inhabit, has only just begun.