LoZ - Level 9, Death Mountain
It was the most complex dungeon in the game. It had Patras, and more than one hidden item (Red Ring AND Silver Arrows). It was kind of fun to fight those things after I'd mastered all the other enemies in the game.
AoL - The Town of Kasuto and Hidden Town of New Kasuto
This was the most complex part of the storyline in that game, people actually being driven out of a village by monsters and creating a new, hidden one. If you accidentally find Old Kasuto first, the old man tells you "This town is dead. Look in the woods..."
ALttP - Kakariko Village
This was a very interesting town. Merchants selling bottles, people calling the guards on you, a sick person giving you an item, the guy with the overgrown lawn, the running man you have to catch with the Pegasus Boots, other people giving you help and various indirect leads via their story, etc... it felt like a real place, almost.
LA(DX) - Animal Village
This was another interesting place. There was a goat writing letters, and all the animals wanted to hear Marin sing. It was funny in that quirky way you just don't find outside of Nintendo games.
OOT - Gerudo Desert/Spirit Temple
This whole area was fun. It provided a new game area late in the game, that you actually had to go to as a Child, when you thought you'd looked just about everywhere in Hyrule. You actually have to escape from jail in Gerudo Fortress if you get caught, but you can take out the guards from afar (much more interesting than the Hyrule Castle version of avoiding guards). It opened up two new mini-games, you had to use the Hookshot more than you ever thought possible to cross the desert, and you get to solve puzzles using the Mirror Shield. You have to solve the Spirit Temple in two stages, and you get to meet Iron Knuckles at a point in the game where they're still pretty scary (unlike in Ganon's Castle).
MM - Ikana Canyon
Aside from Clock Town, this area has the most intricate NPC interaction. The stuff with the composers Sharp and Flat is kind of heart-wrenching, and all the things you can do with Captain Keeta's mask are rather interesting (as is the story behind Captain Keeta himself). There's also something profound about how the king of Ikana begins to realize that pettiness tore his kingdom apart, and teaches you the Elegy of Emptiness. It's also really warming when you heal the cursed man from a Gibdo state, and his daughter tells him he was just having a nightmare. And let's not forget that this is the place you, along with Kafei, follow Sakon to in order to retrieve the Sun's Mask. That's an exciting moment. The last thing, I guess, is how you can make a Garo appear by wearing the Garo's mask, and how they all "die without leaving a corpse."
OOX - Zora's Domain
I don't think I've ever seen a completely underwater town before in a Zelda game. The puzzles surrounding the Library and King Zora are a lot of fun to solve, IMO. I usually hate water levels in 3D Zelda, but this 2D game pulled it off nicely.
WW - Hyrule Castle
I'm not sure what it is, but as soon as I unfreeze the place, look upon the Hero of Time statue, and start fighting Darknuts and Moblins, there's this vague sense that I've "come home." The game goes from feeling like a LA-type experience where Link adventures in some place other than Hyrule... to actually feeling like you're in Hyrule.
FSA - Desert Temple/Pyramid
I mostly like this area because it provides the major plot twist in what seems like it's going to be a very straightforward game. You see the impression of where Ganon took the trident and became evil, probably for the first time. You find out that you not only have to beat Vaati, but Ganon as well. I'm also amused by the Zuna who gives a not-so-subtle hint by saying he wishes he could "fly like a Pegasus."
TMC - Royal Valley
I like this area because you can find the ghost of the former King of Hyrule and gain information from him. Getting the key from Dampe and getting it back from a crow is pretty interesting as well. The sign maze is pretty well-done, too.
TP - Arbiter's Grounds
It's a very satisfying area. You have to bust open gates with those Warthog mounts to even get in, narrowly escape being burned up by King Bulbin, and you get to solve some really interesting Spinner puzzles (you even have to beat the boss with the Spinner!). I just love using that Spinner, it really feels like a Zelda item even though it's new, and I hope they bring it back. The chandelier puzzles, knocking Scarabs off yourself, fighting ReDead Knights, and tracking down the four Poes aren't exactly boring, either. Not to mention that it's book-ended by the most revealing cinematic sequences in the game... the events following the Lakebed Temple, and the story behind the Mirror of Twilight. The whole game just seems to finally come together here.
I'll have to list some more once I play PH and ST...