On Horde side, the answers suggest Orgrimmar, and I'd actually argue that one -- Thunder Bluff is my city of choice for pure Auction House action, as it's a short walk back and forth on the Lower Rise from the AH to a mailbox (and as other comments on EA say, the forge is right there as well). UC is definitely a mess, as you have to go up and down those ramps, and Org is close, but it's so busy that it's almost distracting.
For the Alliance, Ironforge is an old standby, though I have to say that Stormwind has its advantages. You do have to wind between buildings a bit to make it back to the AH from the mailbox, and it is busy (almost surprisingly so), but it's a little easier than Lagforge, and once you know the route, it's fast. Can't say I've ever bothered with the AH in Darnassus, just because getting out there is such a pain. What do you think?