Windhelm is probably the truest representation of how a Nordic medieval city would look like. It is surely depressing, but that's actually why I like it. Skyrim isn't supposed to be a tropical paradise, so I'd expect the people to live in a depressing, snowy, grey stone city. And the Palace of the Kings is amazing.
I never get anywhere near Hjerim though, I'd rather stay at the Candlehearth inn than sleep there. I have bad memories of investigating the murders, creeping around seeing the odd blood stain, opening up the secret door to find the chamber where he performed the rituals.
I usually live in Whiterun because it's dead in the centre of Skyrim, and since the dragonborn's job involved him travelling all over Skyrim many times, it's a good choice.