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Battletech: large sections of the Inner Sphere are like this, but especially Dustball, Kooken's Pleasure Pit and Solaris VII.
Most citizens of the Inner Sphere view the Periphery as this, with varying degrees of accuracy.
As for Kooken's Pleasure Pit, it was set up expressly as a Wretched Hive (or at least the major cities, official canon has it that the remainder of the planet is normal, and strictly off-limits to offworlders to keep it that way) by the Lyran Government as a way to break the back of a crime syndicate by introducing competition to Dustball. (In game, both KPP and Dustball are essentially Nevada or Amsterdam, writ larger and with the more questionable entertainments accentuated.) The gambit only half-worked... people flocked to Kooken's, but the crime-boss-ruled Dustball is as strong as ever. But Dustball is now property of Clan Jade Falcon who have put an end to the gambling industry on the planet.
Zhentil Keep, and indeed many of the cities of the Moonsea area, are other notable examples.
Luskan is populated almost entirely by pirates, slavers, and other types of criminals, and their main leaders are totalitarian wizard-dictators who regularly perform horrific experiments on innocent people. They've also willingly aided an ancient evil empire's attempt to conquer the world, knowing full well they would also be subjugated, just because it would give them a chance to attack their rival city, Neverwinter.
The World of Greyhawk has a few cities like this, most notably the city of Dorakaa in the demon-ruled Empire of Iuz, the city of Molag in the Horned Society, the drow city of Erelhei-Cinlu, and the entirety of the orc- and goblin-ruled Pomarj region.
The Planescape setting has a region of Sigil, the main city, that is actually called "The Hive". It's one big lawless slum where criminals, anarchists, death-worshipers, and demons fight for control. Even Sigil's normally formidable Harmonium guard are too afraid to patrol there.
And the Chicago Shattergraves are still a kiss from your mother compared to the Kowloon Walled City in Hong Kong. The sheer concentration of human despair and viciousness is so thick there that it allowed the Yama Kings to manifest, and rampage over the slums slaking their unholy lusts on the populace in secret. The place is so bad that the insect spirits get left facedown in a gutter if they go there (the sole exception being one hive that has a pact with the Yama Kings). Yes, this is the part of town that's so mean that the flesh-eating monsters from another dimension get mugged.
Many of the Hive Cities of Warhammer 40,000 are like this from spire to foundation, but the underhives almost always qualify. Necromunda is the most prominent example, where the planetary government and military are essentially one sprawling gang that commands the obedience of the next gang below them.
The Dark Eldar are a race of Always Chaotic Evilspace-elves, and their capital Commorragh fit the trope. The city is ruled by warring kabals and the only semblance of government is the biggest kabal that's powerful enough to boss the others around. Getting killed by a total stranger in broad daylight (well, technically due to its location in the Webway there is no day and night cycle in Commorragh, only perpetual twilight) in the middle of a street is seen as a perfectly normal occurrence. One has to wonder how the Dark Eldar have managed not to kill themselves off yet.
Well, that's how it used to be. It's been Retconned since the new codex so it isn't that bad, and to address the Fridge Logic produced by the previous depiction. Turns out most violence in Commorragh is formalized via duels, assassinations, gang violence, etc. Kabals rarely go into outright warfare in their own streets, preferring Machiavellian schemes and political manoeuvring to come out on top. As Word of God has said, Commorragh just wouldn't be able to function if it was just mindless slaughter all the time. Of course, that doesn't mean it's not a very horrible place to live; it most assuredly is. Also, it's not really a single city in a conventional sense, but thousands of cities, ports and realms spread all over the Webway, linked together with a vast Portal Network. Nearly all of these smaller cities certainly count as examples as well.
Similarly, the major cities of the Warhammer world are much like their 40k counterparts, sans the plumbing. The city of Mordheim became so depraved, corrupt, and horrifying a comet was thrown at it. Then it became a bunch of warped ruins home to a few depraved, corrupt, and horrifying mutants, any number of criminals who arrived to take advantage of the lawlessness, as well as the mercenary warbands coming from across the realm to loot it.
A number of places in the Coalition States in Rifts, but most notably the Chi-Town 'Burbs. One city, Cuidad Juarez, is stated to be "The Mos Eisley Cantina scene, spread out over an entire city". Also, Atlantis.
Exalted: The city of Nexus, to a tee. "Ah, Nexus, the city of one thousand names!" "Yeah, but only a hundred of them are printable, and only ten of the printable ones are even nice..."
Adapted into the Nar Shaddaa-esque Nexus VI in the science-fantasy Heaven's Reach Shard.
The cities of the KULT RPG. All cities in Kult are echoes of the One City, and the bigger they get, the more likely that the borders with the One City get thin and tenuous...
In the parody game HOL the titular site is a Wretched Hive planet. HOL is essentially a combination of garbage dump and penal colony for the galaxy.
The small-press RPG Fates Worse Than Death is set in a cyberpunk future where Manhattan has become the Wretched Hive due to a series of wars, economic disasters, and anyone with a suitable level of income fleeing for the burbclaves. The city is divided between gangs, drug pushers, the wreckage of social movements and subcultures, and a self-replicating serial killer. Despite all this, it's supposed to be an Earn Your Happy Ending game — how hard will you fight to clean up the mess?
Every city in Vampire: The Requiem. One of the more popular books for the line, Damnation City, even gives players rules for how to build their own city of the damned.
Montreal in Vampire: The Masquerade. It's far from the only one in the setting, but Montreal is so wretched its setting book, Montreal By Night, got the "honors" of being the launching title of Black Dog Factory, White Wolf's imprint for mature products. This is what happens when the Sabbat is in charge.
Call of Cthulhu supplement Dreamlands boxed set. The city of Dylath-Leen in the Dreamlands is described as being one of these.
Eclipse Phase: Scum Barges, places where anything goes and you can probably get anything not actually capable of punching through the hull if you know the right person to ask.
And then there's Legba, a cluster habitat in the Belt run by the Nine Lives crime syndicate, kidnappers and slavers who use cortical stacks as currency. To quote the book: "calling it a hive of scum and villainy is an insult to scum and villains".
The Free State of Orleans in Castle Falkenstein. It essentially has no central government, since the Shadow Dictator, President for Life Aaron Burr, hasn't been seen in public in more than a quarter of a century. The closest thing to a national leader is the Mayor of New Orleans, who runs the underworld and only provides neighborhoods with police protection if they pay him. The economy is based on piracy, gambling, and prostitution, all of which are legal as long as the proprietors pay their licensing fees, and the country is defended from foreign retribution by Marie Laveau and her zombi army.