Giant fantasy megalopolii, how do I love thee, let me count the ways.
1. Sigil, City of Doors. I've said it before, and I'll say it again, but the 2nd edition AD&D designers collectively created some of the most innovative fantasy settings not just in the history of D&D or even fantasy role playing, but in the genre itself. Even I, compulsive homebrewer, couldn't resist their allure.
The crowning jewel of the 2nd edition campaign settings was Planescape, and its crowning jewel was Sigil: a giant city built on the inside of a horizontal hoop, floating above the peak of an infinitely tall mountain. It never made sense, but it didn't matter with an idea that freakishly good. The Rule of Cool, indeed.
What made Sigil really special, though, were the trappings: the Lady of Pain, silent ruler and talisman; the Dabus, civil servants who speak in images; the Mazes, dungeon-like labyrinths which grow out of the city's very passageways; and the factions, "philosophers with clubs", who each keep one aspect of Sigil running and thus save the city from utter disintegration.
2. Armada. China Mieville might have one of the worst cases of mouthpiece-itis when it comes to characterisation, but boy can he come up with some imaginative goodness. Armada, the city where the main action takes place in The Scar. It's a giant floating city made entirely of boats, strung together by a nation of pirates, which roams the world's oceans like a rumour or a legend.
As with Sigil it's the details as much as the concept which make it what it is. Armada's leaders are a pair of lovers who may or may not be twins and who are covered in tiny scars. Their allies include a vampire and a man armed with a sword which can kill thousands of times a second. Its citizens include a race of people whose blood coagulates and hardens into rock as soon as it leaves the body. And it has a mission, too, although you have to read the book to find out what it is.
3. Viriconium, the Pastel City. The Viriconium books are my absolute favourites, and the eponymous city is among the strangest in fantasy, though it doesn't flaunt its weirdness in the way that Sigil or Armada does. It is the last city left on earth after many millions of years have passed; it has existed for so long that its very reality has begun to fray from overuse, so that time itself has ceased to have meaning. Over the course of the novels the city transforms from a far-future metropolis to a pseudo-Dickensian London to a weird amalgamation of the Parisian Left Bank and Wolfeian fantasy/horror. Its rulers morph from a god-princess to a fat fortune teller and finally to a psychotic dwarf in league with two mad deities.
4. Khare, Cityport of Traps. It isn't entirely nostalgia which puts this city in the list, as the first fantasy metropolis I think I ever encountered in a novel or otherwise. The centrepiece for the Fighting Fantasy book Khare: Cityport of Traps (from the Sorcery! sequence), the settlement began as a camp for river pirates and grew into a mighty city - with streets so violent and dangerous that every dweller fortifies his or her house with one or more traps of some kind. It is ruled by as many as seven Nobles, one of whom is an anonymous beggar and another a vampire, who are the only citizens who know the magic which will unlock its North Gate.
5. Indigo, the Vertical Seaside Metropolis. Described by its creator as an attempt "to envision what a huge -vertical- seaside city would look like in a world where dry land is very precious", it was linked to in a recent rpg site thread, and I fell in love with the idea right away. Essentially a city built way below sea level but situated on the tiniest of islands, it takes the appearance of a sort of reverse Sigil, as if built around the outside of a vertical tube. Take a look at the link to see some beautiful fantasy art by Jesse van Dijk and proper explanation for how the whole thing works.