Haven't played Arena or Daggerfall :/
Morrowind: Morrowind ultimately has the best town and cities, my favourite being Raven Rock, it's the coziest place on earth... I love being in the watch tower when its all dark, almost hoping to see some dark shadows move about outside the walls, feeling so safe <3... A close second is Balmora though, like alot peeps have said, it brings back alot of memories
Oblivion: Bruma, again Prolly cuz im in love with snow
.... Other than that, even thought i guess it's not really a town, i like the big fortress thing in the mainquest (cant remember the name ).... I'm just a svcker for snow i guess..