Lea Monde, from Vagrant Story, is architecturally nice. Pity about all the monsters and undead, though.

Midgar is the post-modern megatropolis, and is an artwork of socio-cultural commentary as much as a location. Don't get me started on the symbolic awesomeness of Midgar...

Minas Tirith, in The Third Age, is great - but that goes without saying. Trebuchets for life.