A lot of posters like Rainmeter.net
, which is a very customizable app with tons of different skins and different desktop appearances, and it can be used for more than just weather. (Don't know if it can show multiple cities though.)
Yahoo Home Page also has a great app for displaying the weather in multiple cities. I have 5 cities posted on my Yahoo Home Page, and I can not only see the current weather for all 5 at a glance, but click on any one of the cities for a detailed report.