I picked up Morrowind, GOTY edition a while ago, but hadn't installed it yet. It's definitely an older game, and the graphics show it (Elder Scrolls IV: Oblivion is much prettier and more polished). Still, I figured I'd give it a try while I wait for Wrath of the Lich King to arrive.

Naturally, UESP Wiki about Morrowind is a good place to start for information. Or the UESP Morrowind Forums.

The start up area and introduction to game play is definitely much less polished then the starting area for Oblivion. In Oblivion, you're led by the hand, with a good bit of backstory along the way. In Morrowind, you have to pick your race and class right at the start, before you really know what is going on. You'll also end up starting with nothing more then a dagger, which means that you're going to have to go shopping in the starting town.

Skills and their relation to attributes is a bit more hodge-podge then in Oblivion. If you choose to play a stealthy thief style character, you're going to have trouble getting Endurance attribute skill-ups unless you specifically level up your Medium and Heavy Armor skills.

On the PC, you can open the console using the ~ (tilde) key and type "tfh" to get information on item ownership. Especially useful before you put something in a container (putting items in container causes them to be owned now by the owner of the container).

Places to (maybe) visit early:

Thrisk Mead Hall (apparently has some items outside)

Venim Ancestral Tomb (a bow of shadow)

A link over on the official forums: Hints for Beginners.