Whiterun is where Skyrim's main quest truly begins. Fighting the game's first dragon Mirmulnir with the guards at the Western Watchtower is a momentous occasion, and one I still remember vividly.
It is the dragon that attacks the Western Watchtower of Whiterun and the first Dragon players will kill as part of Skyrim's main storyline, the one that teaches them that they are Dragonborn.