House Telvanni is my favorite faction from any Elder Scrolls game. All of the higher ups are insane in a different way, and you can essentially do whatever you want including killing them with little consequence. If you plan to be chaotic evil/neutral, definitely play through their questline.
I also really like the daedric quests, which are very easy to overlook if you don't wander around or seek them out intentionally.
There are also cool easter eggs to find, including Maiq the Liar, the Captains Guide to the Fishy Stick, Eltonbrand, the Mudcrab Merchant, and Indy's Note to name a few big ones. There are so many easter eggs in Morrowind and it's a lot of fun to seek them all out