Gridania is by far the most Final-Fantasy ish, similarly to how Windurst was in FF11.
Limsa is good in a way, as your character, just like you as a player, is a newcomer to Eorzea. Bonus points for involving one of the primals right in the intro sequence.
Ul'dah is the most mature one, as it deals with Illuminati-like conspiration and power struggle in a city controlled by money.
At the end of the day, my favourite one is Ul'dah, but I'm a sucker for conspiration and such.
FFXIV: Cloe Delisle
Scholar, officer of the SWAGGER Free company, Sargatanas server.