Favourites (in no particular order despite the numbering):
1) Forest Temple (OoT): Quite different from the other forest-themed dungeons, and wonderfully eerie. The atmosphere is unique for its setting, like a haunted castle or asylum-like area, the sounds of what sound like insane otherwordly laughter punctuating the background music, almost like the place is sentient. Add the twisted hallways and the falling ceiling and you get a real eldritch location. The boss is awesome as well.
2) Stone Tower Temple (MM): This place makes the Forest Temple look like every other building in the world. The idea of flipping the dungeon upside-down halfway through, thus adding something new to the exploration of places already entered, really makes it unique and challenging. It's a perfect representation of the weirdness present in the game. The history surrounding the area of Stone Tower also adds a lot more depth to the dungeon's context, making it even more interesting. The boss is okay by comparison but the fact that we have no idea where it's located contributes to the dungeon's bizarre nature and I like that.
3) Arbiter's Grounds (TP): Not only are the puzzles and obstacles challenging (solving and overcoming them whilst contending with quicksand and tricky enemies) but it makes you use the best of your abilities (Wolf Link) to progress. It has an interesting history behind it (an abandoned prison in the desert), the best use of its item (the Spinner, which was sadly underused afterwards) and both an excellent miniboss (a once-sealed demon wielding a giant sword) and boss (a revived dragon skeleton).
4) Palace of Winds (TMC): Now this dungeon really tests your abilities. It's challenging but not too much so (*cough, Great Bay Temple, cough*), and feels epic in scale, including the music. Plus, I love the concept of locations floating in the sky (I just prefer this over the City in the Sky in Twilight Princess because it has more to it).
5) Beneath the Well (OoT): I know the Shadow Temple's similar in tone and theme, but the fact you have to explore this place as a child, thus being less well-equipped than just before, makes you feel more vulnerable. Combine that with the dark history and implications (what the hell are tombs and a torture chamber doing beneath the village?!?) and the miniboss (that face...) and you're in for a terrifying experience.
1) Great Bay Temple (MM): This place just makes the Water Temple look like a walk in the park by comparison. Just agony.
2) Inside Jabu Jabu's Belly (OoT): I can get over the grossness, it's just a bit too bizarre (especially with the cows in Master Quest).
3) Palace of Twilight (TP): I am a big fan of Twilight Princess, but I always look forward to this dungeon the least out of all of them. It's just not that interesting.