I think I would stay away from the Marshes and that entire southern area. Not much is known about it and I wouldn't risk my entire campaign on such an unknown variable. Swinging north and landing on Skyrim's northward shores wouldn't be a bad option. The land is ripe for the taking between the Dragon attacks and the civil war. Morrowind would be another beast altogether, perhaps more vulnerable due to the Red Mountain explosion -- but the terrain is not ideal (at least in Vvardenfell).
Which cities would be the hardest to lay siege to? I think Skyrim again is a safer bet here as the northern cities seem very vulnerable to an attack from the north. Solitude seems the likely holdout, but beyond that -- nothing that intimidating.
Skyrim's terrain is also more conducive towards sustenance, as food and supply chains will be most important. The land seems quite lush, especially compared with Morrowind. I was thinking about splitting my massive force in two, landing on the NW and NE coasts and cutting a swath through Skyrim and then having the two armies link up at Whiterun. Cities that don't immediately show subservience to our advancing armies will face wanton pillaging, [censored], looting, and burning once the siege is successful. I'd bypass Solitude entirely, draw them out into the open to be destroyed -- or let them rot up there.
Also, Skyrim's southern mountain formations would provide help in defending an Altmer or Imperial attack from the south or the west.
A friend of mine suggested landing on Solstheim as quickly as possible, using somewhat of an element-of-surprise. Once overrun, it would be reasonably defensible, and a ideal place to stage further invasions of the mainland. He also thinks Vivec would be the hardest city to lay siege to.
Thoughts?