Another vote for Boston's "First Night" - incredibly well organised. Although I'll temper that with the warning that you'll almost certainly freeze to death...it can be SOOOO cold!

A bit closer to home, I got invited to spend NYE in Amsterdam last year - the fireworks across the city were impressive and there was a good party atmosphere. Of course you also need to think about what you want to do before and after the main event and I think this city is as good as any for finding things to do in all weathers and to suit all tastes.

Happy New Year!