Granted I mod all the houses to make them more appealing to me personally, but even after that I still prefer Hjerim just like I did in vanilla. Proudspire is just too... cold. I guess it's all the marble. Hjerim just feels far more warm and comfy inside. Plus, Proudspire's layout is so cramped and annoying, it has a lot of floor space I guess but divided up between the three levels it's just a PITA to move around in, and that's even after I've expanded the interiors a wee bit to make it somewhat less confining; there's just no getting around the fact that 2/3 of what you want and need is one or two staircases away all the time. Even the vanilla Hjerim felt more spacious than my modded Proudspire. And IMO it is WAY overpriced in terms of actual value, must be that old real estate thing of "location location location" because it happens to be in Solitude and that city's been the capital for so long.
And like some people before me, I prefer Windhelm as a city. But, I also prefer the snowy mountainous parts of Skyrim to the more temperate regions, so that probably part of the reason.