And while I know it's probably the first city a lot of people think of, Shattrath is a cool city, too. I don't think it's actually my favorite city, but on the first night I ever played Burning Crusade, I remember cresting the hill from Zangarmarsh, seeing that big pillar of light coming out of the center of Shattrath, and realizing I was finally playing something new in WoW. I can only hope that seeing Dalaran in Northrend lives up to the experience.
And by city, I don't just mean huge metropolis, either-- I really like Sun Rock Retreat, and visiting Freewind Post at the top of Thousand Needles is always fun, too (in fact, Thunder Bluff is great for that sense of height as well). So where's your favorite settlement in the whole world (of Warcraft)?