Although many of the Walled Cities are not worth the hassle of visiting, a few standouts are "the Construct City", "the City of Glass", "The Red City", "Oldtown", "The Little City", and if you're brave, "The Innermost City". There are others, but too many are simply inaccessible to the common traveler.
Each Walled City has different specialties, but I especially recommend the "lahmajun" from the Red City. Spiced and delicious on a cold day, it is an easy to find and easy to enjoy meal.
If you have some extra spending money, definitely check out the interesting baubles at the Construct City. You won't be able to afford the functioning artifacts, but many small broken ones can be quite lovely and affordable!
The Innermost City is perhaps the most vibrant, with adventurers coming from all over to stay here on the final leg. There are no other Walled Cities this far towards the center, and it makes for a fantastic staging ground to head off into the unknown! Adventurers also bring back and sell whatever they find here, so strange and curious treasures abound! Be warned, it is very dangerous, and even getting to this city can be tough. If you have the coin, make sure to take an airship.
Excerpt from "Walled Cities that are a MUST visit" - A guide by Sir August Sextilis