This is a tough one, I dislike most cities and towns in games.
In sandbox(or whatever genre the super-powered jumping all over the city but not going inside buildings type is) games, you can't go inside buildings, which makes them like big rocks to me, it bugs me to no end.
In Oblivion, nothing was sacred, you can invite yourself into any building you feel like and there is never anything truly interesting or different in them.
Thief was pretty good though, I loved sneaking into people's houses and helping myself to their valuables.
This is fairly unrelated but the non-combat areas in Too Human SUCKED, there was little to no reason to ever be there....
Well, in general most towns and cities bore me in games because:
-It feels randomly generated and all the buildings are technically the same
-You can't go inside buildings(Only some games)
-There is no reason to go inside buildings
If there is a game in which these 3 do not apply, please inform me about it.