After seeing all of them, the only two that are a decent size are Whiterun and Markarth. The rest are all so tiny. The small towns and large cities aren't all that different.

No I don't think so. Solitude is big. Whiterun is the size of imperial city solitude too

Meh. Roughly same size. Tons of more context packed into them though in Skyrim.

I found that they felt overall rather bigger in size. Although that could just be due to the layout of the cities.

By total area? Yeah maybe...but so much of that area in Oblivion's cities felt so underpopulated and superfluous compared to Skyrim's cities, which makes Skyrim's feel bigger.

Even Dawnstar, Winterhold and Falkreath?

They don't seem much different in size to anything other than the Imperial City; which would logically be the case considering it is the capital of the Imperial empire.

The real question is.. where do I have to go to find an arena!?

Whiterun is NOT the size of the Imperial city. The major cities seem a lot bigger than the ones in OB and all the minor ones and towns make up for the amount of major cities we lost from OB (8 including IC). All in all Skyrim has way more content distributed in all of its settlements than OB ever had.

o__o more like the size of the one district of the imperial city...