I have always thought Morrowind had a unique sense of adventure, at first I thought it was mostly down to nostalgia but I've noticed a few things in my most recent playthrough. This is a compilation of some neat tricks that help Morrowind feel especially adventurous.
One obvious way to create a feeling of adventure is to give the player a great big stonking map to explore, at first glance it seems like Morrowind does this. In reality the design is far more economical, the size of a map isn't directly proporational to how big it FEELS. Out of the numbered Elder Scrolls titles Morrowind has the smallest map with only 16km squared, Skrim being 37km and Oblivion 41km. Despite this I have heard a number of people say Morrowind feels the biggest, how come?
Walking Speed
The slow walking speed in Morrowind makes the game feel much larger. This is not a popular design choice for obvious reasons but gives you an incentive to plan your journeys and travel with purpose. Likewise, low fatigue leaves you vulnerable in Morrowind, the choice to walk or run is an important decision, not to mention great for role-playing! Additionally the more you play, the more your atheltics skill increases and the faster you run, going fast feels that much more satisfying when you earn it. Granted, there are popular mods and cheats for making the walking speed faster, and if you've played the game for hundreds of hours previously I don't really blame you for boosting the speed. However I do think it's worth giving the game a good try with the intended slower speed, it makes the limited fast travel options more valuable.
The Journal
Morrowind uses a journal system for tracking quests, locations and objectives are merely described to you and recorded in your journal. There is no clear UI assistance, transforming simple fetch quests into fun puzzles. The more you play, the more affinity you have with the landscape, you learn how to get from one location to another without referencing any maps. Small villages and discoveries on your travels are made more significant because there's isn't an instantaneous way to travel back and forth. It makes for an experience that feels more personal and self-directed as many points of interest aren't clearly acknowlegded by the UI. Oblvion and Skyrim on the other hand have an icon for almost every point of interest, practically implying that anything inbetween isn't worth seeing.
Fog, glorious fog
Fog is a really easy way to make a game run better, the less you need to render the less strain you put on your hardware. Back in 2002 Morrowind took quite a high-range commputer to run on max settings, and even with the highest draw distance there was still a fair amount of fog. A few years later, with higher spec computers and the help of mods the fog can be completely disabled. Yet again, this sounds like a good thing on paper, but in reality it puts everything in a different perspective, the world feels much smaller when you can see far across the land. In this case Skyrim handled this problem with more elegance by using towering mountain ranges to divide up the landscape and make it seem larger.
Resting
This is another great one for role playing. Morrowind has a simple mechanic whereby resting enough will completely regenerate all your stats, most importantly magicka as it doesn't regenerate passively over time. This is greatly encouraged as a free way to heal, letting the player save potions for when they're most at risk. As you continue to play the number of days are counted, both on your save file and when something new is written in your journal. This is a really neat way of showing time passing, and it's surprisingly rewarding to see that a trek from one city to another took your character a few in-game days.
In isolation many of these design decisions can be frustrating and counter-intuitive, but when carefully combined form a great feeling of adventure, that is, in my opinion, unrivalled.