I haven't been to them all, but of those I have it's hard to say anything but Whiterun.
First experience here is a racist bullying scene...first experience there is a public execution...before I even get to there I conclude the Jarl is in the pocket of some scummy robber baron...I walk in the gate of this other place and some thug wants to run me off before I even get ten feet from the shakedown artist guard that let me in the gate...
Okay, so I no sooner got to Whiterun than I got roasted by a dragon, but still...