I love the shrines. It's the most telling aspect of their dedication to the lore, for me. Each has its own atmosphere and presence of the Aedra/Daedra it represents.
Windhelm (the palace of the kings is beautiful, i like the atmosphere there to), Sovngarde (i can't come there alot of times, but it was like a dream i had a few days ago) and Southfringe Sanctum (something about that dungeon that i love, i just don't know what.)
same just wish there werent so many falmer or glowing mushrooms everywhere in blackreach the most complete dwemer city ever and its being swallowed by a fungus jungle and defecated on by elf goblins.
Is it too cliched to say Blackreach now lol? Sightless Pit was pretty great the first time aswell. Favourite city would be Whiterun. Loved Azura's Shrine aswell.