In order to play, one person chooses a city. Every city after must start with the last letter of the previous city. You must prefix every city with ! for it to count. You can also specify regions and countries by separating them with a commas after the city. 
For example, a game could look like this: 
Person 1: !london
Person 2: !new york city
Person 1: !yerevan

!london and !london, uk would both count as London, United Kingdom but you could also do !london, canada, or !london, ontario to specify London, Ontario, Canada

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