China has four: 北京 (Beijing), 上海 (Shanghai), 天津 (Tianjin), and 重庆 (Chongqing, since 1997). They are province-level administrative divisions reporting directly to the central government, skipping the provincial layer. Taiwan uses the same term for its six 直轄市 (e.g. Taipei, Kaohsiung).
memory
直 (directly) + 辖 (to govern/have jurisdiction) + 市 (city) = 'directly-governed city.' The 辖 is the same character as in 管辖 (to have jurisdiction over).