Once you get far enough in the main scenario no matter where you started it will send you to Ul'dah.

If you level more than one class you will end up visiting all 3 cities on and off for class quests and some of the grand company quests will make you travel all over the place to view cutscenes.

You can walk, get someone to teleport you or take the airship. Once you interact with the cities crystal you can then teleport to it yourself.