I think everybody likes Whiterun the best initially. It's the most user-friendly hold/city, and even after 90 hours, 36 levels, 4 Thane-ships and a mansion in Solitude, I find myself going back to Whiterun just to kind of get my bearings and regroup. (And get Kynareth's stamina blessing!).
I love the northern coast - I love its bleakness, the intense sunlight (or gloominess), and the glaciers. I'm a big fan of the Pale and Winterhold.
But, now that I've visited all the cities, and seen all the holds, I'm going to say that the best hold in the game is THE REACH. I just love the ruggedness of it. And while I dig the winter-wonderlandy-ness of the more Northern holds, there's something kind of grim and raw about The Reach that I just really like. And Markarth is definitely the most interesting city, in terms of layout, architecture, and overall vibe. Of all the cities, it feels like a "real" place the most. (I'll concede that it can be a bit disorienting to navigate, and if you just want to stop off somewhere to sell loot or craft items, I'd go somewhere else).
I just get the sense that the Reach is on the true edge of wilderness, and Markarth is a sort of last fortress against...something. The whole Hold somehow feels both edgy & dangerous, and at the same time kind of secure and solid.
Don't get me wrong - I love the northern snowy regions, dig the frozen swampland, am intrigued by the volcanic depression, and appreciate both the pine and autumn forests as a nice respite from all the harshness. And Whiterun's tundra is oddly soothing. But the area which grips my imagination the most is The Reach. Hands down.
For convenience, Rift and Riften for sho, because Honeyside is extremely convenient for crafting. For coolness value, the Reach. It somehow feels more epic there than anywhere else...though the forsworn piss me off more than regular bandits, for some reason. My least favorite is Eastmarch, just because Windhelm is disgusting. I spend as little time there as possible.