I'm with RedNek on this one, gotta be Riften for me.
Once you get the TG back into former glory, the town gets a lot more interesting.
Amenities:
Honeyside: Alch Table, Enchanting Table, two "mind-of-their-own" Mannequins, Weapon Display Racks, Iola the Housecarl, Outdoor Garden (complete w/CHICKEN!)
Thieves Guild: Alchemy Table, Fence, Three Smiths, Alchemist, Sneak Trainer, Archery Trainer, Pickpocketing Trainer, Lockpicking Trainer, Free Arrows!
Riften Marketplace: Smith, General Goods Merchant (Grelka), Jeweler, Food Merchant, Smith Trainer, Light Armor Trainer.
Riften Town: General Goods Merchant (Pawned Prawn), Alchemist
Mistveil Keep: Court Wizard, Alchemy Table, Enchanting Table
Temple of Mara: Blessing of Mara, Marriage, Amulet of Mara
Talos Shrine: Blessing of Talos
Followers:
Mjoll the Lioness (Warrior)
Marcurio (Mage-type Mercenary)
Iola (Housecarl)
Intriguing Questlines:
Thieves Guild
Temple of Mara
Mark of Dibella
Unfathomable Depths (Lexicon)
Social Life:
Riften has by far the most interesting interactions between NPCs. Maven Black-Briar alone has so many interesting quips as she visits with the other NPCs. In what other city does one resident call another a "whore"? She also grills Madesi about denying her son's purchase of some jewelry.
The interactions with NPCs during the Mark of Dibella questline as well as the Temple of Mara (pamphlet) quest is just hilarious!
Starting fights over dropped cabbage is particularly interesting in The Bee and Barb. The Inn is packed during late-night dinner hour.
Random In-Town Battles:
THIEVES! It's so damn funny when you're visiting some Riften residents in their homes and you see a thief running around inside their house! You can either let the guards take care of the thief or you can put your own blade to work and loot the typically-profitable corpse.
Brawling:
Get your rage out vs. Hofgrir Horse-Crusher at the Riften Stables!
Strange Family Tree:
The Black-Briar family. In some dialogue Sibbi seems to be Maven's grandson, but in others he's her son. Game-of-Thrones style intrigue anyone?
Unique Quest Rewards & Various Loot:
Gloves of the Pugilist
Thieves Guild Armor Set
Nightingale Armor Set
Nightingale Bow
Nightingale Sword
Chillrend
Grimsever
Eyes of the Falmer
Skeleton Key
Ancient Knowledge Active Effect
Various Nightingale "Gifts" - Agent of Subterfuge, Agent of Strife, or Agent of Shadow
Crown of Barenziah
"The Pig Children" - Book
The biggest CON to Riften: No smelter. Closest smelter located @ Shor's Stone.