I hate--hate--when people say "Philly."
Why? I don't really know. Lots of people do it, even reasonable, linguistically-savvy people. "Philadelphia" does have five whole syllables, which is a lot. Most cities don't have names that long, and those that do (or even those with shorter names) often abbreviate. Los Angeles, Cincinnati, and Indianapolis all get nicknames. Those don't really bother me, probably because they're not my city.
But "Philadelphia" is such a lovely name (yeah, Cincinnati is awesome too, it's true), and I hate to see it get short-changed.