Arena: I got beat up a lot
Daggerfall: Map is huge, and I’m lost
Morrowind: Don’t leave Tribunal on unless you know what you’re doing
Oblivion: I stole everything
Skyrim: Catching useless things 24/7
You can get Daggerfall for free these days. Bethesda has just been giving it away on their site for a while now.
As for Tribunal, I didn't add it later as I got GOTY from Steam (I'm rather late to the party on the series as a whole) and so those assassins gave me a lot of trouble for a while there. Though, once I killed my first one, I had enough money to get the power I needed to survive future attacks.
To be honest, I'm not too sure what Tribunal is myself. I just know that it introduced the Dark Brotherhood assassins into the game, and Bethesda forgot about new characters so you might have assassins after you as soon as you're off of the boat. Likely more to it than that, but I'm still fairly new-ish (roughly 20 hours) into Morrowind.
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SiranaJHelena
So true! (Though I didn't play Daggerfall. And added Tribunal later when I at least had a weapon of some sort. :D )