I always loved Caldera in Morrowind, it's easy for a noob to start off there and get to know the game. Also liked some of the locations on Bloodmoon. And Mournhold, city of light, city of magic...
I have mixed feelings about locations in Oblivion, I missed the diversity of surroundings like in Morrowind (Remember Tel Fyr? Molag Mar? Ald Ruhn?) but most cities had their own touch. I did HATE the caves in Oblivion. Blah!