I bought Arena back in the day, and felt so burned that I steered clear of the entire Elder Scrolls series for years until everyone started carrying on about Oblivion. So I went and bought the Morrowind collection for like $20, which came with both expansions. I played it for a while, but eventually got kind of bored with it. Too many sidequests, not enough mainquests, the setting is just too BIG, so you spend endless hours just walking though volcanic wastelands, not nearly enough variety in monsters, quests, etc. Plus my computer crashed while playing it, a lot. Better than Arena - Arena was just a plotless randomized dungeon-hack.
I did go back and finish the main game and the Tribunal expansion a few months ago - didn't bother with Bloodmoon, was bored again and had The Witcher sitting on my shelf (which I enjoyed MUCH more).
I'd give Oblivion a try, and there's a collection version out now... but I'll probably wait another year or two until the price drops before I mess with it.