I never liked much about Morrowind... i don't know why, but apart from the music, it left me cold... so there are no destinations i like to roam in.
In Oblivion, apart from just random wandering through the northern half of Cyrodiil, i like Cheydinhall... its a nice town. Bruma isn't bad either actually.
But my favourite places in any of the games are from Daggerfall... I love the cities of Daggerfall, Sentinel and Wayrest and also the Tomb where the King of Worms "lives" - too cool chatting to Liches and Mummies. Chatting to the king and queens in Daggerfall and Sentinel (with their respective and interconnected dramas... they'd give The Days of Our Lives a run for its money), the royal family of Wayrest is even more fun... they're the most interesting of the bunch, and having read and re-read "The Real Barenziah" ingame books, getting to chat to her was always fun. So, i guess Wayrest wins for me.