First off, The Water Temple from OoT is what I'd consider to be the hardest dungeon that I've come across (as well as other fans). You have to make sure that you use the right keys for the right doors or else it'll mess you up completely. I hate dungeons like that. >.<
Another one would be the Great Bay Temple from MM. This one is another water temple that doesn't have the key thing that you have to worry about like in the last one, but it is still pretty difficult without that in it. You have to change the direction of the water's flow in order to get into certain rooms and then change the direction again if you somehow miss something in another room that you can't reach. Also you can accidentally miss the room that you're wanting to go into and have to go around again and try to get in the room.
The last hard dungeon for me would be the Ice Palace from ALttP. I could always get pretty far into this one, but then I'd get to a certain part of it and suddenly I'd be stuck. I can't remember exactly what the problem was, but I believe it either had something to do with having to have a certain key for a certain door or there being a room (or part of a room) that I couldn't get to and I couldn't find out how to get to it.