Figaro Castle, Balamb Garden, Fisherman's Horizon, Alexandria, Lindblum, Rabanastre, Ishgard...
Zanarkand is an honorable mention. We see it briefly as it once was, but don't ever get to run around it; it's only the ruins of it that you can traverse.
Oh, and for me, Midgar is nowhere near my favourite. In fact, I don't care for it. I always rushed through the opening of VII back when I would replay it because my favourite parts of the game are anything OUTSIDE of Midgar. Balamb Garden for its tranquil atmosphere and how it's essentially your home for all of FFVIII, and Ishgard from FFXIV for how entwined the player character becomes within the city-state and its citizenry (not to mention the history that you can feel within Ishgard) are probably my top two. Rabanastre is up there, too. Okay, so that's three lol.