Definitely would be the Great Bay for me.
Each region in Majora's Mask all have their merits and each areindividually great. They are vast areas - brimmed with content, side quests, characters, mini-games and all feature a unique landscape. I think that would be my favourite feature about the Region's in MM, they all put a unique twist on a typical location, the forest -- now a swamp, the typical death mountain area that the Gorons inhabit -- now a snowy mountain, the typical lake -- now a tropical beach and finally the standard desert theme is now a canyon.
So what makes the Great Bay stand out in particular? Well first of all, I like the scale of the area, you have this seemingly endless ocean, which isn't all open for exploration, but it creates that illusion. You also have many side areas, the Gerudo Fortress, Waterfall Rapids, Zora Cape etc. So there is much to explore and do here and I think the content and size would be enough of a justification for me to choose this area alone.
Generally though it's just a nice setting in which to be in. It's pleasant to have somewhat of a lighter backdrop in a relatively "dark" game, I'll get into the irony in that statement later on, but the setting is perfect in my opinion. Even though the visuals may be somewhat dated, they still look great in this area. The twist on the typical lake was definitely fresh in my opinion, I love the idea that Majora's Mask had more tropical locations, so to say, and this was the perfect example of this.
Now contrary to many opinions, stating Ikana to being the scariest location or the most fearful, I would disagree and say the Great Bay is. Slightly contradictory to my earlier statement and I know, and at first glance one my view this area as one of the "lighter" themed locations in Zelda. Fact is, that this adds to the slightly disturbing reality of the Great Bay itself. It is very much a tropical paradise, but it's empty. You enter and you are greeted with that familiar theme (music track), but this one has the best twist in my opinion -- I'm going to admit I was quite creeped out. You have this so called "nice" location, which should be seen as a haven but yet it's got this darkish theme which straight away made the area feel somewhat odd.
Even though it looks relatively unharmed by the Skull Kid's antics, there are actually an array of problems -- some of the worst in the game. The sheer emptiness would be enough to make some people wary, but then we spot a distant figure. Going out to sea we spot Mikau -- a member of the Indigo-Go's (a famous Zora band). There was something slightly disturbing about watching him laying helplessly in the waters of the bay, I mean he's a Zora, he should thrive in such places. Then we drag him to shore and witness his death first hand. This death was slightly more shocking than the rest -- we got to witness this one first hand and I felt somewhat odd that this was in a Zelda game and it spurred me on to find out and fix what's wrong.
Overall this Region, like it's counterparts, was vast, filled with content and featured a unique landscape that differed from the Zelda standard. What sets it apart though, is the landscape itself, that sense of scope and granduar, the feeling of being of free in waters. Going to admit, even though the Zora controls were slightly annoying at times, it was fun to traverse the waters -- it's so hard to get that feeling of freedom in a Zelda game. Ironically though the landscape, for all of its nice themes, is actually one of the darkest in my opinion. A bay suffering from overly hot weather, murky waters making even the Zoras struggle to navigate their way round, then you have the conflict between the Gerudos and the Zoras and the struggle of Lulu. A truly great area and one of my favorite settings in Zelda period.