Markarth is my favorite City, but I hate the Reach in general. As for my favorite hold... well, probably the Rift, but honestly Riften bugs me sometimes (though it is one of the cooler cities in terms of aesthetics). I think I would like Riften more if Maul and Brynjolf weren't so IN YOUR FACE about the Thieves Guild. Oh, and I hate Maven, she can go DIAF for all I care.
None of them because not a single one of them has a single khajiit in it. (Probably for the best, the way Bethesda seems to treat them, they would probly be made the lowest of the low like they always seem to do in Skyrim.)
That point aside I guess it would be Riften, since at least they have a few Argonians in there that aren't practicly slaves (*cough* Windhelm *cough*)