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Cities in coastal counties, and you should really try to have purely coastal counties in your personal demense imo. Gold + tons of tech + ships. Building anything other than a city in a coastal county is a waste.
Cities are generally accepted to be the best.
I do agree that after a while, retinues really take over with levies often only arriving after the war is won :P. Sometimes you get a bit of local rebellion squashing, but...
Another benefit is that baronies are hereditary and yet virtually immune to rebellion, so they make an ideal place to stick cadet branches who haven't yet lost claims on your titles, or just to preserve the family of any character who you want to keep around. They're also a great place to house claimants while you press their claims, as barons still count as vassals. I always have a few castles in my demense just for these reasons.
You generally don't need piety, either - a few holy wars and some churches given away to random nobodies gives you +25 a pop.
In general, what you are building up for are the retinues and the universities that can help bump your tech along. Also, you'll be swimming in cash now, but only for as long as you can keep raiding. Eventually, you either hit a point where you have to defend yourself, or you've already conquered all the best raiding spots. (Plus, Muslims have a really annoying tendency to build nothing but castles later on...)
You basically get no money and very few troops from baronies, anyway. Cities at least have taxes to help pay for their own development, and will usually rush to make shipyards full of ships you need to move your retinues around.