Windenburg is still my favourite, even with so many other worlds added over the years. It is large. It has enough neighbourhoods and each has their own theme. With the island it offered the first neighbourhood without backdrop houses, in other words a neighbourhood where we as the player can decide the look of all visible buildings. The only thing missing is the ocean being upgraded to be swimmable.
I also like Glimmerbrook (yet again no backdrop houses), brindleton Bay (nice seaside location) and the more exotic worlds like Sulani, selvadorada and strangerville (yes to me desert worlds are exotic)