Dragon Bridge is definitely in a cool location, with the bridge, river and mountains near by. I also like how the hamlet is laid out. It's definitely a place I visit often.
I'm also fond of Rorikstead but wish it was a bit more developed. I love running around the plains of Whiterun or the edge of the Reach for a few hours and then heading over there. Just wish there was more to do, in-game interaction-wise.
While not a settlement per se, Nightgte Inn is a great resting place, although pretty lonely. I wish it got more travelers that youcould talk to, buy a drink for, etc. Also hate that your Hearthfire carts won't take you there, What's up with that?
I've got a weird thing for the Crabber's Shanty and teh Alchemist's Shack. I think it comes from when I was first playing the game and found these location for the first time. I just thought they were so cool and vastly more pleasant than the seriously depressing Meeko's Shack and Lund's Hut.
Riverwood is of course a central location and pretty gorgeous. I wish most of the smaller locatins where as developed as it.
Of the hold capitals, I like Riften perhaps the most--it has a diverse group of NPCs and plenty to do there, plus the whole on-the-waterfont thing is very appealing (I'm still convinced the place woud stink of fish, stale mead and mildew). With my latest character i've been spending most of my time in Farkreath, which has it's own gloom-and-goat-manure appeal about it.
I wish there were a few more smaller locations in the game, namely near the borders where you could trade for items from outside of Skyrim and interact with more "fringe' type of people.