My nicest memory is largely outside the game - taking breaks from assignments in college to play through Morrowind for the first time with my partner at the time watching me do the main quest and asking me questions about it. I was about to beat Dagoth Ur for the first time but my save got corrupted unfortunately. I've not actually beaten the main quest since though; I might get around to it at some point soon.

Finding the Path to Azura Cave. It was so dam hard but once found it has been burnt into my brain.

On my early playthroughs when I would wander around, find a couple septims and a crappy enchanted dagger in a tree stump and feel like a million bucks.