Horde: Undercity
Alliance: Ironforge
Both have fantastic music and atmosphere, and amazingly intricate circular designs to them with lots of little nuances and secret places that not many people are aware of... There's tons of secret places in Ironforge alone, including Old Ironforge.
But I think Undercity overall is the best city Blizzard created.
There's even a way to walk among the big pillars and skulls that circle the inside of the forgotten kingdom of formar Lordaeron. Look up to the very large ceiling in Undercity more and you just might see some people hanging out there.
Also, you can hang out with the ghosts at the graveyard in the entrance to Undercity. But only if you have a way of seeing invisibility.
And the echoes of sounds you hear as you enter into the throne room: The bell, the cheering and flower pedals on the ground, and the confrontation where Arthas succeeded his father, the blood and crown on the floor... No other city will EVER beat that:
https://www.youtube.com/watch?v=A20Dcw9Izyohttps://www.youtube.com/watch?v=RZv-fy12Cao