Falkreath, it's the third nicest hold in the game.
And I hate to burst your bubbles but the only holds you can build in are falkreath, hjaalmarch, and the pale. Source: http://www.examiner.com/article/bethesda-lays-out-the-facts-for-skyrim-hearthfire-bandits-bards-and-more
It's basically So you can be a thane and have a house in the lesser holds (save for winterhold since you have the arch-mages quarters)
Apparently, I went with (at the time I type this) the most popular choice, which is Whiterun. I like being close to "civilization", if you know what I mean. Granted--with fast travel and all--that doesn't mean as much, but still....nothing wrong with a little bit of actual role-playing, no? --- Lazy people insist on cars with automatic transmissions because they're shiftless.