I've done this on other forums and it was a hit so let's try it here, shall we? It's easy. Whatever The previous person says, your word has to start with that letter, and fit the ever-changing theme. For example:
Washington
New York
Kansas (City)
Let's get it started, following the example the first reply would be a city starting with 'S'.
-marco 
Sydney
York
Kinshasa
Albuquerque
Edinburgh
Houston
Napoli (because i'm italian)
Istanbul
Lima
Atlantic City
Cagliari (if "atlantic" count)
or Yao (if "city" count ... yes, it's a Japanese city)
As Kansas (city) also for Atlantic (City) only first word in game
so Cagliari... call...
Ivrea (the small town where he was born Arduino)
Adhamiyah (Iraq :P)
Hobart
Turin (Torino for Italian people)
Nagasaki
Ichihara
Amsterdam
Melbourne