Like Linkmaster did above, listing them per game is the best way of getting my opinion out. And don't judge me for reposting here a million times, my opinion changes often. :D
Favorites:
Zelda 1: Dungeon 5
Link to the Past: Turtle Rock
Link's Awakening: Turtle Rock
Ocarina of Time: Water Temple...
Sky Keep from Skyward Sword, has great puzzles and is a great puzzle. I also just love each individual SS dungeon, so I already had a soft spot for this dungeon the first time I played it. :D