Marketplaces should be in all cities, but be appropriate to the size of the city they're in. That would add for more realism, as you'd expect to find more people in bigger cities anyway, and because more people equals more trade equals more diverse shops; so you'd have to travel to the Capital City to find things like rare bookshops. All cities should sell essentials (armour, weapons, ammo, ect...). However, Cities should also have more shop appropriate to their location on the map, for example, towns to the south should supply 'Colovian' style goods, as they'd be seeing more trade from travellers from Cyrodil. Towns in immesnse forests full of wildlife should be kitted out better to supply the needs of hunters.
I'd also like to see small markat villages on major roads - It's hard to beleive that the village of 'Weye' on Oblivion would consist of only two buildings, when it's on the edge of the
ONLY BRIDGE INTO THE IMPERIAL CITY. It should have been full of market stalls and traders.
Not only do i want marketplaces, but I want busy market-places during the daytime, when you have to shove your way through.
Unfortunatly, this is were The Elder Scrolls series has shot itself in the foot. By giving each NPC an AI script (basiclly, a realistic life schedual), they'd have to provide housing and such for every charecter they add in. Not only this, but having tons of AI packages running in a small space would lag the game up like hell.