The title of the topic states that it could also be a level, so I'm guessing Death Mountain from Zelda 2 counts. Not only was it's maze-like design confusing, but by that point, you probably aren't properly prepared like you would be later in the game.
If that does not count, than my vote goes to the Ice Palace from ALttP, at least for me. When I first played the game, I was instantly confused by how many puzzles and floors there were. However, I must admit that it was one of the coolest looking dungeons.