Snowpeak Ruins (Twilight Princess). Already mentioned several times. Nice narrative and sense of discovery with this dungeon.
Tibet levels (Tomb Raider II). Not a big fan of the Barkhang Monastery, but the other three levels are all fantastic (particularly Tibetan Foothills).
Slipslide Ride (Donkey Kong Country). Wonderful music and atmosphere.
World 6 (Super Mario Bros 3). Just a great set of levels all round.
Freezeezy Peak (Banjo-Kazooie). Flying around, dive bombing those snowmen is good fun.
Surface levels (Goldeneye). I think the fog works wonders for these levels, with endless enemies appearing out of the mist.