Buy Morrowind Install OpenMW Tweak Settings Managing Mods Tips

Getting Started: Buy Morrowind

GOG.com: DRM-free, includes the Construction Set, Tribunal, Bloodmoon, and the official plugins -- as well as a PDF version of the official strategy guide.
Steam: Includes Tribunal and Bloodmoon but does not include the official plugins or the Construction Kit.
Humble Store: Gives your a key for the Steam version.
If you want a hard copy, either CD or DVD, it seems like those can still be found. A quick search should yield something.