I personally like Saint-Denis due to its ingame variety; I love getting to interact with different nationalities such as white Southerners, Italians, Spaniards, Creoles, African-Americans, Chinese, etc., and seeing what New Orleans might have looked and sounded like during that time. Also, the side activities in Saint-Denis were fun, as was just riding (or even walking) around.
With regard to my favorite "frontier town", though, it would probably be either Valentine or Strawberry. I love the agricultural feel of Valentine (seeing the stable workers occupy half of the town), but I love the forested and isolated feel of Strawberry, where I was stuck for two hours on my birthday shooting scores of lawmen dead because I accidentally pulled a man from his horse in front of the sheriff's office due to an accidental key-press.
I miss New Austin's vibrant RDR 1 form, as riding through Armadillo and getting into bar-fights was always fun in the first game. Overall, though, there's plenty to keep a player occupied in the new areas, and I think that Saint-Denis has the most to offer (historical recreation, cultural exploration, a diverse atmosphere, vaudeville, trams, etc.) from any of the new towns/cities.