Same here. For me, the Cave of Ordeals is one of the funnest sections of any Zelda game -- definitely one of the few parts that's still incredibly challenging, even after multiple playthroughs.
Mine would have to be a toss up between the colour dungeon from Link's Awakening DX and the Ancient Castle of Ikana. I think I'd have to pick Ikana just because of the erie atmosphere that surrounds the whole place.
My favorite mini dungeon is by far the Gerudo training grounds in OoT. No matter how many times I play that game, I never get tired of that "temple". and there are a few upgrades and prizes you can get around there
Cave of Ordeals, due to the fact that it forces you to be creative in your fighting, by using you techinques and supplies in the most effective manner, as to not only avoid any damadge, but keep your stocks up for as long as possible.