Vivec and Almalexia in Morrowind(Ascandian Isles and Mournhold provinces) has a unique building Vivec and Almalexia's Palaces. If you conquer them as non-Almsivi they disappear however. They provide good bonuses, some troops, +5 fort levels and +250% garrison. However if you are in a defensive war they give a modifier that provinces insane bonuses, like +1000% garrison and +10 fortification levels in addition to the bonuses the building itself provides, making them a nightmare to siege down. Those bonuses stack and can easily net you around 5-6k garrison to protect them. In a current game it took an army of 7.7k around 3.5 years to siege Vivec down at a rate of around 1% morale loss every 12 days.
Ada-Mantia/Adamantine Tower in High Rock was unique buildings for you to construct allowing you get a lot of very varied units and a powerful capital for any Direnni play through.
Windhelm in Skyrim has the Palace of Kings for extra garrison, morale and a few troops and half a fort level. Winterhold has the College of Winterhold for extra mages and tech spread. Castle Volkihar has a unique building that gives it troops and garrison. Markath has a unique building that gives fort level and garrison.
Torval in Elsweyr has the Palace of the Mane giving troops, taxes and garrison.
King's Haven in Summerset has the Crystal-Like-Law which have unique stuff for you to build.
Falinesti in Valenwood has some unique buildings to build.
Pretty much all the holdings in the Imperial Isle in Cyrodiil have either unique buildings already there or you can build them.
Dunno about unique interactions, but if I remember correctly if you hold Sancre Tor, the Imperial Isle and is Eight Divines you can get the chance to go on a quest to find the Amulet of Kings and eventually ascend to become the Ninth Divine founding a new religion and giving you the Divine Bloodline trait.