I'm loving Skyrim, 50 hours in and I feel like I'm still just getting started (...)
I somewhat agree that capital sizes could be a lot larger, but I just love how they are designed and distributed, and for me is enough right now as the game is. If the game world was smaller and the city offered a lot of quests, required more gameplay time inside, etc.. then they would surely need to be bigger.
Also, try to walk (not run, neither sprint) from the inn to Blue palace (Solitude), or from the companions base on Whiterun to your home, once and again, then again for another quest, etc... and tell me if you still think they are so small

It's what I always do, as I only "run" when riding a horse... makes the world feel much bigger, and also increases playing time, as long as you have the patience, real-life time, and imagination to enjoy it.