I'm a little disappointed with the city size as well. Whiterun is pretty impressive and detailed in the sense that it has farms around it and some guard towers, which lends it more of a city feel than most of the others. But aside from that you would be hard pressed to describe them as anything other than walled villages, towns at best.
One of the cities was actually described officially as being "massive" I'm not making that up. After seeing Whiterun I assumed this massive city must be Solitude, so I travelled there, alas it was not so. But yeah I was playing this game waiting to encounter the massive city and never found it, was quite disappoint.
Markarth is rather large due to its multi-levels
I'm disappointed by the lack of bigger cities. You have Morthal, Falkreath, Dawnstar and Winterhold all being tiny villages.
Winterhold was the biggest disappointment for me. It feels like they just used this "great collapse" as an excuse not to make it bigger.
Falkreath seems large to me since I rarely go there and I get lost xD
Morthal seems like it started out as a military outpost or a trade-stop to gather supplies as a shortcut through the marshes.
Dawstar and Winterhold were the only cities I was disappointed in; Dawnstar is supposedly a big port, yet there is only one ship docked and it is rather small. Winterhold however, is a collection of 4 buildings in total. I understand the scale and magnitude of the game however, so it doesn't bother me much.
All of the major cities were fine by me. Whiterun and Markarth seemed the largest, with Windhelm following, then Solitude, then Riften as the smallest