Honestly, there's way too many potential favourite levels/dungeons/locations/etc to list them all, but I'll list some that pop straight to mind.
Possibly one of my favourite locations in a game is tied between Anor Londo and Sen's Fortress in Dark Souls - Anor Londo is just teeming with secrets, lore and areas where impatient movement will just cause you to fall to your death. Anor Londo is also hosted by one of the most difficult boss fights in the Souls' franchise (for me personally). Sen's Fortress is a smaller part of the game but still a blast: it's full of traps and some neat little secrets too. It used to frustrate me, being hit by the oscillating axes or being knocked from bridges by snake-people attacks, but once you get used to the area, it becomes such a cinch (pro tip: run naked past everything).
Always been fond of the theme park in Silent Hill 3 too, especially when Heather is forced to go into the haunted house. It all feels off-kilter and a little tongue-in-cheek until shit really hits the fan.