I would be a guard in Riften. I would always carry some lockpicks, so i could empty a chest, and say it was the Thieves Guild. I will weald a steel sword, and always have some potion of lockpicking on me :D
Oh, and always have a sweetroll to give, if "Someone stole your sweetroll"
Raven Rock, those guys seem to be tougher than Normal guards and are the only Dunmer guards. I would carry a Glass armor with my Deadric Katana since I'm a veteran Buoyant Armiger and I'm a proffesional. These ash creatures aren't so different from the Blighted ones so it's okay. I would carry a scroll of AlmSiVi intervention or 2, leftovers from the time of the old Tribunal, some Mazte, a nice set of enchanted ebony darts that I got from the Nerevarine after he stopped the Black Dart gang in Mournhold, a glass shield and dagger (backup weapon), and offcourse my knowledge of magic.
Architecturally speaking probably Markarth, I love how the city's being divided in different levels, which all have their own atmosphere and views attached to them.
But, if I were a guard, I'd probably choose Whiterun or Raven Rock: Whiterun is a thriving community and a metropolitan area, yet seems to be very peaceful (& neutral). Raven Rock because of my favoritism for the Dunmer (Culture).