Actually, the fact that the towns all look the same bugs me just as much as the four hold capitals looking the same. They're built in different environments and their architecture does not reflect that. As I recall, if you look at the areas around Rorikstead and Karthwasten, they're full of wooden buildings. Yet trees are not real plentiful in their areas. What? Did they import the lumber? Why weren't they built using the locally plentiful materals? Stone. And Rorikstead is built in a relatively flat area. In the winter, it's going to be a cold, wind swept place. The buildings don't reflect that, too. They have the same structures as Riverwood, a town up in the forested mountains. Or Dawnstar, a city on the northern coasts.
I find that to be very jarring, personally.
This is a very good point; towns, especially in primitive societies, are always built with what's locally available, designed for their unique environments.
For the hold capitals, however, one thing bugs me in particular; all these towns are very old, Skyrim being the first home of humanity in Tamriel and all that. However the small holds are just a bunch of wooden buildings which could have been built yesterday. Take Winterhold, for instance. It'd a very old settlement which was badly damaged and has seen a steady exodus of people. Why don't they have, instead of a wooden village, some crumbling old buildings, most of which abandoned with a great pile of ruins down by the sea?
Falkreath is supposed to be an area of great fame in ages past, yet again, it's a bunch of brand-new wooden houses. There's no sign of age, or even the bygone greatness the locals talk about in any of the smaller hold capitals.