Most of my favorites were mentioned except:
Kurast - The 3rd city from Diablo 2 dark swampy atmosphere, the feel of dread, decay and dead sorrounding the city and of course the spooky forrest filled with monsters, just brilliant!
Arreat - I felt verry at home with the barbarian city in Lord of Destruction, the art design was superb. But outside the city - well - this is where the fun beggins, a true battlefield, possibly the only game that evr managed to incorporate a whole fucking battlefield in a game where you control only 1 character. (of course there's the battlefield between humans and orcs in MM7)
Every city from Darklands
Buccaner's Den from Ultima 7
Orssirium and Wayrest (the mansion) from Daggerfall
Everything from Pagan, the only good thing from U8 was it's superb alienish world
The temple of the Mad God from Betrayal at Krondor
The Shadow Temple near the Umar Hills in BG2
Wacther's Keep, Forrest of Mir and Amkethran in Throne of Bhaal
San Mona in Jagged Alliance 2
Everything from Gothic 3
The dwarven mines in MM7
Everything from Wizardry 8
The Alien Brain's layer on Mars in X-Com
Hong Kong and Paris in Deus Ex
The dreams in Oblivion. Overall 2 quests involve you to transcend into your dreams. The dreams often involve strange dungeon without oponents, just puzzles and interesting traps. Try to imagine Xen from HL, just without of the stupid jumping, alot darker and weirder. Also Arkved's Tower which involves... God dammit! I used to be a lore bluff, I should know the name... Vaermina's daedric shrine quest. Now THIS is the best dungeon I've ever seen, nothing can compare to the door leading to dead ends or the giant sized rooms or the upside down rooms. It's demented and impresive, it obviously looks like it was done by someone with experience or storytelling abillities.
There's no particular reason to kill Arkved, unless you just want to fill a Black Soul Gem. Killing him does not seem to get the Dark Brotherhood's attention either, so it's not even good as an easy murder. However, the crumpled piece of paper next to the orb states "I shall lie here in the dark waiting for death", so you could feel the desire to be merciful and kill him.
Arkved's last words are recorded on a second crumpled piece of paper under the desk. It reads: "the horror, the horror." This, in addition to his journal, which suggests that Vaermina's orb allowed him to glimpse into his own mind, and that he was subseqeuntly driven insane by what he saw, is an allusion to Joeseph Conrad's novel, Heart of Darkness.
Barcelona from Lionheart
Everything in UU: Stygiant Abyss
I think that's about it - no wait!
The town of Khorinis in Gothic 2