I was at first most at home in my Breezehome in White Run.
That was until I took Aela the Huntress as me wife and made the house in Markarth as our marital home.
Now I tend to use Whiterun as my smithing quarters by putting all my smithing materials in the cupboard to the left just through the door (so even if you are encumbered you still only have a few steps to the door and a few more steps to the arms trader and forge next door).
I still love Whiterun as a central base though. I tend to just to pass through Markarth to check up on the wife, trade with her and collect my half the money she makes.
(my housecarl in Markarth is now a full member of the Blades, so he isn't hanging around the missus when I'm wandering Skyrim - Not that I'm the jealous type. I'm sure the shop story is just a front she uses for other money making activities. I mean, where's the shop?).
I do wish we had an actual city with Winterhold I was really looking forward to that city.
yh. If they do ever make a castle / tower type dlc along the lines of what they did for Oblivion (as some posters have asked for), I'd like them to place it in / next to Winterhold so it kinda makes it feel more of a place to visit other than just the mages guild. That way we can even get a carriage there from the other cities.