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.