You could play either, they are not dependent on each other. Morrowind, IMO is a more intricate game, you would do well to read some lore and decide what houses you will support before starting. See which story appeals to you the most and go from there. You could even start both at the same time. I would mod both games with gameplay, graphics, and other enhancements that don't change lore. They are both dated and buggy, but fun. Check out uesp.net and look at both games.

Originally posted by Shiki Ryougi:

I'm curious to play both but I do not know with one to start. Tips?

I recommend Morrowind because the game did not age well. I speak from experience as, although I only purchased Oblivion because I had tried Morrowind 1-2 times as a child and fell in love, going back to Morrowind from Oblivion is a borderline unpleasant experience, as you need to adjust to the completely different combat system. However, the story and true D&D journal type immersive exploration is well-worth playing the game, and me forcing myself to play it!