Definitely, Bronx
Five Boroughs. Awesome. Why does only the one use the definite article? Why is it “The Bronx,” but not “The Brooklyn,” or “The Queens”? According to wikipedia, The Bronx is legally and colloquially referred to with the definite article. The United States Postal Service does not recognize “The” in front of Bronx, and “Bronx County” doesn’t either, but that’s it. Its vague historical origin suggests The Bronx was named after a settler or two, and also the subsequent river (and rivers more commonly employ definite articles).
So what other places use “the”? m.snowe is having a hard time thinking of cities or towns in the U.S. that use the definite article. Give me something, people. Or hell, make shit up. What cities would sound better (or funnier) with an article in front?

Some ideas:
The Phoenix, Arizona
The Long Beach, California
The Buffalo, New York
Also, isn’t it funny that the only other definite articles I could find in U.S. city names are in a foreign language, which aids in distracting from thinking about their status as definite articles? (Las Vegas, La Jolla, etc.)
The Billings, Montana
The Pierre, South Dakota
Abroad, there’s The Hague.