If you're looking for densly packed Eurpopean and Asian cities how about St. Petersburg, Cairo (ok, it's African, but I'm calling it close enough to count), Istanbul (not Constaninople), Rome, Dehli, Bangkok or Singapore? Those are just the ones that occur to me off the top of my head.
I have very good friends that did the 'round the world tickets as sort of a pre-marriage honeymoon and loved it. You do have to keep going in the same direction on that airline, but there's nothing to say that you couldn't jump on Southwest in, say, Chicago, and jump down to Vegas for a few days. However, if it's densly packed that you're looking for, Vegas doesn't belong on that list. Once you're off The Strip, Vegas sprawls to a horrible extent.
Abaya made some great suggestions, although I'll disagree that Beijing is densly packed. When I was there in 2000, I remember thinking that it sprawled quite a bit, but that's just my opinion.
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