It could be because of a quest line, how the zone looks or the sound or whatever. Could even be a city.
I'll give a couple answers
My favorite city is by far Suramar, because it is an actual city. Its huge and feels amazing, one of the best cities made in an MMO. And it isn't just big and lifeless, but filled with stuff in every nook and cranny. A lot of MMOs and games in general do a big...but empty city. Not so with Suramar.
My favorite zone in terms of looks and atmosphere is probably Vash'jir. Its so beautiful and haunting. And the feeling of being stuck underwater is great, and the feeling of immense relieve any time end up in a cave out of the water. A lot of people don't like that zone though.
My favorite to level in in is easily the Forsaken story questline...hard to beat that. A lot of work in Cataclysm obviously went into those areas in terms of quests and atmosphere.
As a bonus. My least favorite is the entire Outlands zones...the only single outlands zones I like is Hellfire Peninsula. That one is pretty fun fighting the Legion. The others are I find so boring and I'm glad I never have to level in them again cause can skip straight to northrend due to level/zone scaling.
My Skyrim, Fallout 4, Starbound and WoW + other game mods at MODDB: