I really enjoyed the overall design of Midgar. I thought that it had such an interesting atmosphere with all of the steel construction, billboards and posters plastered everywhere, and the graffiti. I also loved the look of Lindblum, particularly for the architecture of the buildings. Then there's Rabanastre, which had a plaza, a bazaar, and even an undercity in the form of Lowtown, that made the city feel so dynamic.
As for worlds, I would have to say Ivalice. The more open-world design helped flesh out the setting in Final Fantasy XII, while the world seemed to have much more lore about it since it was featured in numerous titles (with the original Final Fantasy Tactics being one of my favorite Final Fantasy games).