Granted, you could say the Cyrodiil is supposed to be the Cosmopolitan province, but I felt like a lot of the "cities" like Chorrol and Bruma felt more like towns with a massive chapel and castle thrown along to seal the deal. The only city that was even close to being one was the Imperial City, but the division of the districts, some of which didn't seem to offer any real service like the Arboretum and Prison, really hindered the feeling that you're living in another world.
Morrowind kind of had this problem too. Seyda Neen and Suran are perfect for what they represent. Balmora is kind of good too, but upon learning that this the second biggest city, and the fact that you're there so early in the game, hurt the experience a bit.
The fact that both these games had sooooo much space that was unused and filled with creatures and bandits, adds salt to the wound.
Its not the worst problem of the TES series, but I want to know if anyone feels the same way or has even noticed it.