Each city has its own MSQ plot as well as the unique sidequests. They merge together at story level 15, just before the first dungeon.

The main lasting difference is that you get some ‘unique’ Lv1 glamour items (the models are reused later though) - “dress shoes” from the Limsa questline, a wooden mask from Gridania or amethyst earrings from Ul’dah. The earrings are probably the most useful prize (if it suits your character) as you don’t get any other fancy earrings until Lv28.

There’s also a unique ring from each city, but with minimal stat benefits, and just a different coloured gem on it.

Ul’dah probably has the most useful worldbuilding questline as well. (Though if you’re into the story, I recommend starting a character in each of the three cities to get all the stories.)