I liked Anvil when I first started playing Oblivion because, IMO it has one of the neatest purchasable home layouts. I also liked Leyawiin because of all the huge houses with lots of space, until I went to buy one. I also found out, I didn't like traveling to way out of the way places too frequently. So it's not that I don't want to ever visit them, but I guess my least favorite cities are Anvil and Leyawiin. Only because they're not very central. The IC makes for a much better central network for a guild of thieves.
Edit: I just realized there is one city that I would never want to visit and that's Crucible. Okay layout, but needs a HUGE cleanup.