I depends on the game. Can't recall much about the towns in FFI and FFII, and I'm not half-way through yet in FFIII, so I'll start with FFIV.

FFIV - Troia
FFV - Mirage Town (the one that is stuck in that dimensional warp thing)
FFVI - Nikeah or South Figaro
FFVII - Wutai
FFVIII - Windhill or Balamb
FFIX - Burmecia or Daguerreo