The 2008 Tokyo!, featuring three short films by Michel Gondry, Leos Carax, and Bong Joon-Ho comes to mind.
I'm not sure if The City (1939) fits, but it looks at four types of US cities. The same for Vertov's Man with a Movie Camera (1929), which is edited to look the life of one Soviet city, but was filmed in three different ones. Brian Looker VIDEOLIB is intended to encourage the broad and lively discussion of issues relating to the selection, evaluation, acquisition,bibliographic control, preservation, and use of current and evolving video formats in libraries and related institutions. It is hoped that the list will serve as an effective working tool for video librarians, as well as a channel of communication between libraries,educational institutions, and video producers and distributors.