San Myshuno is my current fave, I am really enjoying the apartments. I've had Sims live in the rundown TLC apartments, and one in a nice penthouse. The street festivals make the little neighborhood seem much more alive, and I don't seem to notice just how small the gameworld is.
I haven't spent much time in Windenburg yet, or Brindleton Bay, I might make a few families and dump them in later and see how the worlds play out. I've bounced around from different neighborhoods with a collector Sim, and I have to say my least favorite is Del Sol Valley.. It just seems so oddly small.