Windhelm

Windhelm is one of the larger cities found in Skyrim and the capital of Eastmarch Hold.

History
It was founded by Atmorans under leadership of Ysgramor. It's been built by the Snow Elf war-captives and criminals. Ysgramor founded it honor of his son Yngol who died during The Return in Storm of Separation. He built great bridge that would prevent anyone from sneaking in or out. There's a legend which describes a great chamber built underneath Palace of Kings, Ysgramor's residence, in his honor. He was supposed to be buried in it after his death, but he wanted to be buried on a secluded island on the Sea of Ghosts, looking towards his homeland, Atmora.

Windhelm today
During The Elder Scrolls V: Skyrim, Windhelm's Jarl is Ulfric Stormcloak, leader of the rebellion against the Empire.