Supposedly Colchester, where I go to uni, was the first town in Britain to be referred to by name, mentioned by Pliny in AD77 (by an earlier name though, Camulodunum). The signs claim Britain's oldest recorded town.
My hometown, Lincoln, was an important Roman settlement, Lindum Colonia, where many retired soldiers lived. Also, the Cathedral was once the tallest building in the world.
Edit: How could I forget?! Lincoln was also the place where the world's first tank was created.