There are four capital cities for each faction and one neutral city.

Horde cities include:

Thunder Bluff in Mulgore
Orgrimmar in Durotar
Undercity in the Tirisfal Glades
Silvermoon City in Eversong Woods; added after the release of The Burning Crusade
Alliance cities include:

Stormwind in Elwynn Forest
Ironforge in Dun Morogh
Darnassus in Teldrassil
Exodar in Azuremyst Isle; added after the release of The Burning Crusade
Neutral cities include:

Shattrath City in Terrokkar Forest, added in The Burning Crusade