It's too bad Synergy Dio Products aren't still around, now there were some building kits! Also, you can check out some buildng sets from Mini Art, they're vacuformed pieces and require a little work, but the accessories that come with the sets is great, window frames, balony railings, etc. Even has street lamps and propoganda posters.
As Gino pointed out, practically none of the building sets come with vehicles or figures, but that's when it's time for the imagination to kick in!
"There you go with those negative waves again!"