Stillwater (SR1&2), cause its just cool as **** to walk outside of one of your houses and see a gang of ninjas beating the crap out of a gang of pirates while a gang of pimps and hos look on in amazement before starting their own brawl! Coolest thing is all I had to do is watch. I never had to lift a finger!
San Andreas (GTASA), not a city, I know, but before that, I had never played an action game with a map that big. It will always be special to me.
Whiterun (Skyrim). Just felt like home to me.
The Citadel (ME1). Just a cool as hell place to be. --- Alabama Crimson Tide: Now serving title #15.. ROLL TIDE ROLL!!!
Balmora from Morrowind, and I see some others picked it as well. I don't know why, it's really not an amazing town, but it's the first major town most Morrowind players see. I guess it's just a safe, homey town where most players first realize the scope of the game and just how big Vvardenfell is.