I'd have to say the Arbiter's Grounds from Twilight Princess for quite a few reasons.
For one the design if the Dungeon is quite compact, rooms are relatively small, this creates a claustrophobic atmosphere, which really adds to the feeling of being trapped and whatnot. I would say this combined with the dark rooms, made me feel, somewhat, uneasy.
Then of course you have the wide variety of enemies and probably a combination of the toughest enemies to date. Even though, Twilight Princess was, at its core, an easy game, I found parts of this dungeon pretty challenging and it would have to do with the enemies. This was also increased by the sheer amount in the dungeon itself, you could tell what Nintendo tried to create here, a dungeon riddled with countless enemies and traps all crammed into compact rooms. I felt that a certain moment really captured this idea of "perilous" and that would be the trap room which you had to traverse in Wolf Form. This room was full of traps and you would constantly get held back by ghostly rat like enemies (forgot name).
Overall a great dungeon, but in relation to this thread, it was definitely one of the environments I felt vulnerable in, multiple traps, dark rooms, tons of enemies etcetera.
