Armorer (smithing), alchemy, athletics (gone), block, enchanting, unarmored (alteration perk), weapon, and armor skills are the same or better in their Skyrim versions.

Enchanting and magic were far more powerful in Morrowind, but also game breaking. They aren't game breaking in Skyrim, but magic is limited. Having actual mana regeneration is huge though. Again random chance to fail isn't a great mechanic, higher level magic requiring absurd mana when low skilled does a better job of creating a power curve. Leveling magic in Skyrim actually requires it to affect things, which is more interesting than making a 1 mana spell.

Combining speech craft and mercantile was also a good change. The disposition system was super basic, just bribe anyone that didn't like you and taunt anyone you want to kill. The random intimidate\admire system works better here as you can't just keep trying with bribes\taunts to get what you want. Taunting people to death isn't that deep.

Skyrim arguably offers better combat depth as it's far easier to utilize combinations of magic, powers, shouts, melee and ranged combat. Combat is hardly deep in either game, there's more options in Morrowind, but it's more about what color you want the magic than anything deeper than Skyrim.