Let's say you use "Which city ... ?" when you have a rather limited range of cities in mind. Imagine you're booking a trip to New York, and there are 4 cities (airports) in your area you can depart from. The agent will ask you "Which city will you be departing from?".
On the other hand, if you're in a travel agency, and say "I'd like to visit a city", the agent will ask you "What city?", not "Which"...