Some castles do make so little extra money as cities as to almost not be worth converting and upgrading. Corinth for one is terrible tradewise. The castle in Norway makes a great city, as do a few of the small castles on the Baltic, like the one in Finland. Hamburg also does quite well as a city, although early on, if you'r eplaying as Denmark, it might be good to keep it as a castle for a little while to reinforce your front with the HRE. Stettin takes a while to make decent money as well, and would be low on my castle conversion priority list.

Generally any castle (especially coastal ones) converted into a city will see an income bonus, however, so once one is far enough from your front not to be needed for troop building it's usually worthwhile to convert them.