Dawnstar
This garrison town rests on the northcoast of Skrim. In the 283 year of the Second Empire the Potentate Versiude-Shaie declared marshal law after the destruction of the Dawnstar Fortress. This lead to one of the bloodiest and most brutal times in Tamriel history.
Falkreath
This town is in the south west corner of Skyrim and sits close to the border of Cyridiil and Hammerfell. At one time this town was part of Cyridiil.
Markarth Side
This city is famous for possessing the Imperial College of the Voice and is in the west-central area of Skyrim. The College was founded by Tiber Septim to restore the Voice to the art of warfare.
Rifton
This city is also knows as Riften and is in the southeast. It is close to the border with Cyrodiil and Morrowind. Barenziah joined the Theives Guild in Rifton during her return to Morrowind from exile in Skyrim.
Whiterun
This city is in central Skyrim and is where Barenziah escaped with her young lover for a week during her return to Mournhold. This area used to be referred to as the “Imperial City of Skyrim” when it contained Whiterun and High Hrothgar, now it has dealt with much chaos and feuding, also it has been ravaged by floods, droughts and fires.
Winterhold
This is a powerful and influential city in Skyrim and it has been affected heavily by the customs and ideas of Dunmer. It is in the north east and contains the Ysmir Collective and the College of WInterhold.
Solitude
This chief port of Skyrim contains the famous Bards’ College. Many ships from up and down the coast can be found in Haafingar. The port is always crowded with timber and salted cod for the markets of Wayrest, West Anvil, and Senchal. The Bards’ College was founded during Skyrim’s long Alessian flirtation and continues to flaunt a heretical streak, and its students are famous for being carousers. Students unload for a week of revelry every year which climixes in the burning of “King Olaf” in effigy, possibly a forgotten contender in the War of Succession. Graduates always have an easy time finding jobs in noble households and courts, but some choose to wander in the famous foot steps of alumni like Callisos and Morachellis.
Windhelm
At one time this was the capital of the First Empire. The palace of the Ysgramor Dynasty still dominates the old city at its center. The Palace of the Kings is one of the few First Empire buildings left after the city was ravaged by the War of Succession and again by the Akaviri army of Ada’Soon Dir-Karmal. Today the city is the only sizable relevant city in the rural Hold of Eastmarch. It also serves as a base for Imperial Troops that are guarding the Dunmeth Pass into Morrowind.
Source: http://www.cheatmasters.com/blog/2011/07/14/the-elder-scrolls-v-skyrim-cities-guide/#ixzz1WSMkDEQ9
CheatMasters
Personally I will venture to Solitude. How about you?