Falkreath seems cool indeed due to their naming convention centreing around life and death
Favorite capital: Solitude Favorite hold: The Rift
I like the rift because it's landscape, animals to hunt, and the climate. I like wandering there and hunt animals
Favorite Hold? Winterhold.
Why? Because of Septimus Signus' Outpost, the northernmost location on the map... and, of course, the College of Winterhold.
Something about the outpost's utter isolation from everything else is oddly appealing. It's a shame it can't be made into a player-home, and any item you store there will eventually disappear. I also like that the "Beneath the Ice" bgm plays in the background there, too.
As for the College? Hey, it's a high spire on a cliff overlooking the hold. What's not appealing about that?
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!
Hjaalmarch hands down. Even though it's a poor hold, It has (in my opinion) the wisest and chillest Jarl as well as an overall secluded atmosphere that seems far away from the troubles of Tamriel