Forecasting models based on stepwise multiple linear regression (MLR) have been developed for Athens and Helsinki. The predictor variables were the hourly concentrations of pollutants (NO, NO2, NOx, CO, O3, PM2.5 and PM10) and the meteorological variables (ambient temperature, wind speed/direction, and relative humidity) and in case of Helsinki also Monin-Obukhov length and mixing height of the present day. The variables to be forecasted are the maximum hourly concentrations of PM10 and NOx, and the daily average PM10 concentrations of the next day. The meteorological pre-processing model MPP-FMI was used for computing the Monin-Obukhov length and the mixing height. The limitations of such statistical models include the persistence of both the meteorological and air quality situation; the model cannot account for rapid changes (on a temporal scale of hours or less than a day) that are commonly associated, e.g., with meteorological fronts, or episodes of a long-range transport origin. We have selected the input data for the model from one urban background and one urban traffic station both in Athens and Helsinki, in 2005. We have used various statistical evaluation parameters to analyze the performance of the models, and inter-compared the performance of the predictions for both cities. Forecasts from the MLR model were also compared to those from an Artificial Neural Network model (ANN) to investigate, if there are substantial gains that might justify the additional computational effort. The best predictor variables for both cities were the concentrations of NOx and PM10 during the evening hours as well as wind speed, and the Monin-Obukhov length. In Athens, the index of agreement (IA) for NOx ranged from 0.77 to 0.84 and from 0.69 to 0.72, in the warm and cold periods of the year. In Helsinki, the corresponding values of IA ranged from 0.32 to 0.82 and from 0.67 to 0.86 for the warm and cold periods. In case of Helsinki the model accuracy was expectedly better on the average, when Monin-Obukhov length and mixing height were included as predictor variables. The models provide better forecasts of the daily average concentration, compared with the maximum hourly concentration for PM10. The results derived by the ANN model where only slightly better than the ones derived by the MLR methodology. The results therefore suggest that the MLR methodology is a useful and fairly accurate tool for regulatory purposes.