Could be a city, dungeon, area in the wilderness, anything. Doesn't actually have to be in Skyrim either, it could be a place from the Vale, Solstheim, and so on. Just has to be part of the game or DLC.
I'd say my favorite dungeon is Kagrenzel. That's the weird Dwemer one way up in the Eastern mountains that many, many people miss. You have to go far off the standard roads if you want to find it. If you haven't been there, don't read about it or watch videos of it, it will spoil it.
My favorite city is probably Riften. I don't really like most of the people there, but I think it's one of the nicest looking cities in the game. It's very homely I think.
I'd say my favorite area in the wilderness is where that fallen tree spans a whole ravine. That area and the area surrounding out seem like a nice place to relax.