While Skyloft was okay as a town and had the best Silent Realm, I think the sky in general was executed rather poorly. Eldin was way too linear, and I never liked fire areas anyway.
That leaves me with the tough choice between Faron and Lanayru. Faron nailed that all-important exploration aspect of an adventure game (sans the anticlimactic Lake Floria area) and is home to Koloktos. On the other hand, every part of the Lanayru region featured puzzles that were far superior to the other regions, with the two dungeons being being my favorites. And while I've already praised Faron on its exploration, entering the Sand Sea area and exploring its islands - Skipper's Retreat, the Shipyard, et. al. - is simply MYSTifying - pun very much intended. The atmosphere of the area and its focus on past and present made it feel like a written age a la MYST. However, Lanayru Gorge is underwhelming and the Lanayru Desert is - like Eldin - rather linear. This is especially frustrating for the Desert since it's such an open area, yet everything's blocked off except for the one obvious path.
As much as I like the Sand Sea and the two Lanayru dungeons, I think Faron turns out to be the most well-formed region. The exploration of Faron Woods really captures that essence of Zelda that games like LoZ and OoT are praised for, and the Faron segment in the final stretch of the game (when it's flooded) has a much greater impact than the final segments of the other two regions (volcano eruption and Lanayru Gorge).