For Alliance I prefer Iron Forge. The bank, mailbox and auction house are close together. If I need to make something, its not too far to the forge or reagent vendors. Darnassus has too far to schlep between the auction house and mailbox. Exodar is just confusing. Stormwind has a very long walk between the auction house and forge. Before TBC, it also made a good flight hub.
For Horde, I like Thunderbluff. Its not the shortest distance between these necessary items, but it feels the easiest to navigate.
Edited, Jun 9th 2008 4:43pm by ItsaGaAs