My favorite, it's hard to choose, but I'm leaning toward the Rift. The scenery in the Rift is really stunning. Ironically, I quite disliked Riften the first time I went there. Despite the beauty of the place, the fact that half its people are A-holes just turned me off. The place felt rotten, corrupt, dirty and unjust. But gradually I grew to love it, after joining the Thieves' Guild and discovering how fun that is (discovering my inner criminal really helped get me to like Riften lol), and eventually spending a lot of time around Riften. There's a lot to do in the area, the house you can buy there is really nice (I like that porch with the view of the lake), I enjoy the Thieves' Guild and the sort of camaraderie among the Guild members (even if they're kind of jerks; it comes with the job and it would be weird if they weren't), and it's the best city to unload your loot in, with the sheer amount of merchants (legal and illegal) that operate there. I've grown to quite like the place, and sometimes I'll just walk my character around the town, or the countryside, and take in the scenery. The people who made this game really did a great job there.
My least favorite hold is the Reach. No matter how much time I spend there I just can't seem to grow to like the place. It has some good aspects, but I just dislike Markarth. I have the same impression of it that I used to have of Riften, that everyone there is an A-hole. A lot of the quests in the area are a pain, I'm always getting lost there and can't seem to familiarize myself with the lay of the land with so many mountains that are so much trouble to get around, and the Forsworn are really quite a nuisance. The geography is especially irritating when you have a follower, who just can't/won't negotiate the more difficult terrain like the player can. Whenever I'm in and around Markarth, I seem to have no end of trouble. Plus it's so remote and out of the way from the rest of Skyrim, it's difficult even to get there and get back (I could fast travel, but I try to keep that to a minimum). It's still Skyrim, of course, so I tolerate Markarth and I appreciate the effort that must have gone into making it, but when compared to the others, it's never gonna be my favorite hold.
As for the other holds, neither my favorite nor least favorite, but some general commentary:
I like Falkreath, it's pretty like Riften (though not as much), but like Markarth it's quite remote. I had been playing the game for a month before I ever went to Falkreath or was really even aware of its existence. There are some interesting things in Falkreath hold, such as the Dark Brotherhood headquarters, and some interesting quests like the werewolf one, but all in all there isn't much to do there. And the weather is kind of dreary, cloudy and rainy. Actually, the weather and the scenery remind me of the Pacific Northwest of the US, which is where I hail from, and which I can't stand for its dreariness, grayness and coldness.
Whiterun is a nice place. I actually didn't leave Whiterun hold for like at least the first week of me playing the game. There's a LOT to do there, both in the town and countryside, and its central location in Skyrim makes it a great base of operations. Most of the people in Whiterun are nice, though there are a couple annoying ones. It's the best city for smithing in, and plus there are two people at Warmaiden's alone who you can sell armor and weapons to, and Belethor is great for selling more general goods. Though the elderly jewelry merchant whose son is imprisoned by the Thalmor never seems to have any money to buy the jewelry I make at Warmaiden's, which is annoying because Belethor can only afford so much at a time. It's the best city for alchemy, again due to its central location as well as that convenient room with the alchemy table and the chest for storing ingredients. The biggest drawback is the lack of an Arcane Enchanter in your house there. When I want to enchant/disenchant/find out if I even can disenchant something, I have to go up to Dragonsreach, wait for Farengar to stop using his enchanter, and listen to his snobbish comments while I'm trying to work (though he did praise my work once, which was nice of him lol). Also there isn't much space for books in that house, and one of the shelves once bugged on me and I lost many of my books. But overall it's a great place.
Winterhold is very cool, with the college, the scenery (feels like you're in the Ice Age), plenty of things to do in the hold, it has a nice feel to it. The only complaint is that the town is too small. I know it's supposed to be that way, but there just aren't enough buildings or people. There's only one merchant in the town, though you can buy/sell with some characters in the college too. I do wish the college had more depth to it, though. But all in all, I enjoy Winterhold when I manage to get all the way up there.
The Pale is probably the hold I spend the least amount of time in. There's next to nothing to do there. Considering Dawnstar is a port town, it really ought to be more active. It's not all bad, it has kind of the same feel as Winterhold, but again it's too small, and unlike Winterhold it has very little to offer in terms of things to do. And my biggest beef: there's no general store! Which further reduces the place's appeal. Plus it makes no sense, considering again that it's a port town with sailors coming and going; there ought to be at least one merchant to cater to them. I don't dislike Dawnstar like I do Markarth, but I rarely bother to go there.
Hjaalmarch is an improvement over the Pale, but again, Morthal has no general store, which makes it a frustrating town to pass through when I'm needing to unload some of the stuff I'm carrying. But it has other things going for it. There are some neat quests in the area, and the marsh is rich in ingredients to harvest that you can't easily find elsewhere. The area has a nice eerie feel to it as well. It's not one of the more eventful holds, but it has certain appeals.
I quite like Haafingar. Solitude is one of my favorite cities, for the size of it and the sheer amount of things to do in the hold. Solitude is a gorgeous city too. It's also one of the better cities to sell loot in. I haven't yet bought the house in Solitude, so I don't know what it's like, but if it's anything like the rest of the city I'm sure I'll like it quite a bit. The only problem is I won't be able to spend a lot of time there, and that's the main drawback. The hold is pretty remote from the rest of Skyrim, clear on the opposite corner of the map from Riften which is the city I visit the most due to the Guild. Geographically the hold is a bit like the Reach as well, kind of a pain to get around if you're west or south from the city. But overall I like it, it's a pleasant place.
Finally Eastmarch. This is about in the middle of my like/dislike scale. The first time I visited Windhelm, I didn't like it at all. The racial tension in the city and the system of the Dunmer being confined to the Gray Quarter reminded me of apartheid, Jim Crow and Jewish ghettos, which put a bad taste in my mouth. Overall I've warmed to Windhelm a bit because visually it's a gorgeous city (especially when the snow stops and the sun comes out), albeit kind of messy. It has the feel of a place with a lot of character and history. There are a lot of things to do in the area, it's a good city to sell things in, and I like the murder investigation quest, even though it's a bit buggy. Windhelm is a fun city to walk around, like Riften. If it weren't for the racism, it would be one of my favorites.