Are you referring to the actual terrain rules in conjunction with interactive building terrain pieces (with
ARM stats and the ability to be destroyed, entered etc.), or simply big terrain buildings that are essentially big blocks of
LOS blocking/impassable terrain?
That being said, Who doesn't love a good city fight?!?
I have made a fair number of
WM themed building terrain pieces:

We have used the actual terrain rules for buildings on occasion (and I like them), but many of my regular opponents are intimidated by this added feature and so we often just use them as impassable/
LOS blocking terrain features:

A heavily themed urban table is visually very appealing and tactically interesting especially when you use the "crossed lines". Fighting down allies and streets is fun, as is trying to outmaneuver your opponent through a maze of alleyways or slamming/throwing models off/against walls, etc.:
Some spells/abilities (incorperal,ghost walk, etc.) become really nasty in such an environment however and melee dominates long range firepower( a relative term in
WM) so be warned...