Falkreath is the capital of the hold with the same name. It houses a blacksmith, and if you have Hearthfire, you can buy Lakeview Manor, a plot of land. It's only inn is Dead Man's Drink. At the graveyard, you can start the quest Ill met by Moonlight from the dead girl's father OR Sinding.

Morthal is one of the major villages, and it has a burned house and Morthal is the capital of Hjaalmarch. This city may take place in Hearthfire.

Riften is the capital of The Rift. You can join the thieve's guild at The Ragged Flagon. Riften has a canal and a fishery. This is the only city that has a port that is not on the coast. Riften takes place in Dawnguard, too. Riften houses The Scorched Hammer, The Bee and Barb, Honorall Orphanage, and Honeyside.

Windhelm is the oldest city at the province, and holds passage to Solstheim (DB) and is one of the three cities with a port on the coast. You can join the stormcloaks unless you joined the imperial army. Windhelm has a chapel of Tiber Septim. It houses three farms and Windhelm is west of Blacklight, the capital of Morrowind.
The services at Windhelm are at The White Phial, Candlehearth Hall, Argonian Assemblage, The Smithy, the market, New Gnisis Cornerclub and Sadri's Used Wares.

Winterhold was lost to the sea 69 years ago during The Great Collapse. It houses only a few services. The College of Winterhold is a faction you can join.

Solitude is northeast of Whiterun and is the capital of Skyrim. Solitude is the capital of Haafingar. When you first arrive there, you will have to mourn the loss of Roggvir, or get killed by the guards. Solitude has many services including The Winking Skeever Tavern and a blacksmith.

Dawnstar is the northernmost city in all of Tamriel. It has services and is another of the three port towns on the coast. Dawnstar is north of Whiterun and northwest of Windhelm. Dawnstar has a Mythic Dawn museum.

Whiterun is the eigth city of the province, and is the first city you visit in the game. It houses a couple inns and the one farther from the gate is The Bannered Mare. It houses Skyforge, the greatest smithy in all of Tamriel. Whitewatch Tower is by Dragonsearch.
Whiterun also houses the Underforge, which was built before Jorvaskr. Whiterun is the only place you can join the Companions.

Markarth is the last of all nine cities at Skyrim and is the capital of The Reach, the westernmost hold in the province. Markarth is near the border of Hammerfell. Markarth is a dwemer city but not a ruin. It holds a ruin with the entry to Cidhna Mine, the best jail without a bed to serve a sentence. This is the only city made out of dwemer.

Raven Rock is Solstheim's main settlement, and it has The Retching Netch, The Bulwark, a blacksmith, a mine and a dunmer temple.
The Earth Stone is west of The Bulwark. Raven Rock is a town of Morrowind under House Redoran and is the only town with a one-celled jail.

Tel Mithryn is a house Telvanni town and it's houses are made out of Fungal. It is east of Raven Rock and Fort Frostmoth. The main tower is also known as Tel Mithryn.

Tell me activities in a city (Their Name and what you did) to give me comments.