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)