Favourite city is Markarth, especially at night as it looks stunning, and favourite hold is the Reach. I have one level 40 character, a forsworn native (live another life mod), who has never left the hold and is STILL finding things to do.
Having said that, each of the holds have their charms and their challenges. I think my least favourite has to be Hjaalmarch - becaus it feels so glum to me. It is also impossible to spell!