I played a lot of Shadowrun in my teens, and most of our games were set in a futuristic Seattle, so I'm no stranger to urban role-playing games. I've never played in an urban setting in a fantasy game, though, and that's an itch I'd like to scratch one day, perhaps by visiting one of the following fine destinations:
Port Blacksand: Long before Freeport, there was the City of Thieves. After the ancient coastal city of Carsepolis was destroyed in the wars against Chaos, it was abandoned for decades, until pirates and thieves started taking refuge in the ruins, and things developed -- some might say worsened -- from there. The settlement passed through many hands over the centuries, until a bold pirate named Azzur sailed into port, conquered the city and installed himself as ruler. Now Blacksand is a chaotic place, with a single ruler but untold numbers of factions, great and small, vying for power. It is ostensibly a civilised human settlement, but ogres and trolls wander the streets wearing the uniform of the city watch. Lord Azzur himself is rarely seen, and may no longer even be in charge. A grizzled hermit lives in a shack under one of the city's bridges, a man claimed by some to be one of the world's most powerful mages, but if so, why is he there? And below the busy, grubby streets of Blacksand lie the ruined, haunted streets of Old Carsepolis, complete with forgotten temples to strange gods of the sea...
Honourable mention goes to that other great city of the Fighting Fantasy setting, Kharé. A Lankhmar-esque place that is easy to enter, but difficult to leave, Kharé may not be a city at all, but rather a prison in disguise.
Irilian: Published in White Dwarf #42 to #47 -- before it became a miniatures catalogue, etc, etc -- as an ambitious and elaborate attempt to map and detail a complete fantasy city, something they would later try again with Marienburg for Warhammer Fantasy Roleplay. What makes Irilian interesting is that it is no list of locations and NPCs, an approach which could quickly become dry and dull. Rather it is presented as a small campaign, with the players being introduced to various parts of the city as they progress through a series of linked adventures, so one scenario might occur in the merchant district, while the next would happen in and around the temple district, and so on. It's a fascinating and effective approach, the city as a sandbox, and one which makes it easier to absorb the sheer volume of information presented in thirty-ish pages of the Dwarf's then-characteristic 6pt text. My only criticism is the insistence on inventing a local language for the city that is the same as English, just with annoying alternative spellings -- "Commandere Aef Hors" for the city's cavalry leader -- that will have the GM reaching for the glossary every five minutes during the game.
Those are my favourites. What about yours?