I loved Old Haven in Borderlands.  I found myself returning there again and again.  It was very dangerous and it seems like there was a Lance soldier spawning every time you turned a corner.  If you ran, you'd run right into another group, so you had to move carefully.

Deep Dungeon in Final Fantasy Tactics was so awesome.  I think this one was my favorite because it was a great place to catch rare weapons.

Fallout 4 has a maze that you can stumble across that comes right out of a horror movie.  In addition to traps, bombs, and ghouls, it has stuff like this:

This level in Portal 2 took me forever but in a good way.  Well, I mean, I say that NOW but maybe not at the time.  I love it in retrospect.

Some of mine.

Click Clock Wood, Banjo Kazooie (Loved the music and the many changes, subtle and major, between seasons)

Light Aether, Metroid Prime 2 (Felt beautifully desolate without being overtly gloomy)

Elysia, Metroid Prime 3 (Loved its elegant architecture, avian motifs, and tranquility)

Pirate Homeworld, Metroid Prime 3 (Superbly foreboding)

Rapture, Bioshock (An atmospheric and artistic triumph across the board)

Columbia, Bioshock Infinite (Brilliant contrast to the above)

Kaznan Jungle, Killzone 3 (One of the most creatively alien worlds I've seen in a game)

Haibara Hospital, Fatal Frame 4 (Felt like a real place rather than a video game level, not to mention creepy as hell)

Phendrana Drifts in Metroid Prime. Twilight River in Pikmin 3. Mira in Xenoblade Chronicles. And Mt. Silver in Pokemon GSC or HGSS.

The Witchern the PS4, as it is so large, varied, and detailed with a variety of characters and landscapes. The Last of Us on the PS3 as it I feel it was unique in that there so many details to find, and how it was explored by both you and Ellie.

I really like the open world.

Some of my favorites are Skyrim (you can go Anywhere! See a tower in the distance? Well figure out how to get there.) and Shadow of Mordor (you could just see so far!)

Halo:Reach (not open world, but had parts that were like it.) Many games have 'background' villains, and you can walk up to a line where they can't bother you. Not so in Reach, you get close to anything, and will start bashing you. Make the game feel more real.

LOL

The first ones that come to mind are environments from Xenoblade Chronicles: Satorl Marsh at night, Valak Mountain, Eryth Sea and Frontier Village. Actually, the environments and the overall sense of epicness are some of the main reasons why Xenoblade is my favorite game.

never thought about it

Mira in Xenoblade Chronicles X is an amazingly well realized setting. It feels like a hostile, wild, beautiful, and often bizarre alien world. For most of my play through, it was like every time I turned around there was some epic vista or weird creature I had never seen. As for my favorite continent, it would be a tie between Noctilum and Sylvalum.

Columbia in BioShock Infinite was beautifully realized, with the rather unsettling depiction of the dark potential of man being being very unnerving (and only made all the more so when you see the parallels with real world revolutions gone bad, such as the early French Revolution).

Then finally, the Great Cave Offensive in Kirby Superstar. I absolutely, positively love that level/campaign thing. The level design, structure, variety, music. Love it. I know it's divided into multiple level sections but since it is all seamlessly connected I'm counting it :P

Honorable mentions to Skyrim, Xenoblade, and Oblivion. Skyrim I love the epic emphasis on verticality, really makes the whole world feel bigger and more grand. Also found the variety within the fairly restrictive climate quite nice, as well as the way the history of the region is told through the architecture of it's cities and the ruins of the land. But it's familiarity is a bit of a weak point, it's not as unique.

Xenoblade I love the uniqueness overall, but there are some aspects that feel less interesting. Bionis Leg is cool in terms of geography but the creature designs and foliage are kinda pedestrian. But there are exceptions. Overall, still an amazing world.

Oblivion was very classic fantasy but I loved the vast, sweeping feeling of Cyrodiil. It was a mind blowing experience the first time I stepped out into the world, Oblivion being my first open world RPG. The weaknesses are the lack of unique designs in many places and the blandness of big chunks of the wilderness.

Here are some of mine:

Hitman Blood Money - A Dance with the Devil level

Chrono Cross beach:

The beginning of Thailand in Tomb Raider Underworld:

The Happiness stage in SSX3: