My favorite dungeons are all at least somewhat challenging, heavy in atmosphere, and unique. The adult portion of Ocarina nailed this, as did Majora's Mask. A Link to the Past and the other consoles games aren't slouches either. My absolute favorite is the Forest Temple from OoT.
Now for least favorite...
The first couple dungeons of The Minish Cap come to mind. Skyward Sword's Fire Sanctuary was very disappointing too. Why revisit the fire theme?
Favorite: the wind temple
This temple was incredible the mirror puzzles were a lot of fun and I just love the ghostly temples. Although the boss was subpar I just love this temple. A close second is the Ancient Cistern which is by far the best of skyward sword
Least favorite: Level 9 and the Great Palace
I had to play through level 9 without the skeleton key which is impossible it seems. Great Palace for obvious reasons especially the ridiculously hard mini bosses and of course dark link. They were both bad temples for me.
If we are talking Skyward Sword, which is the forum it is in, so I'm assuming we are...
Ancient Cistern & The Sandship.
Both of these dungeons really kept me involved and entertained. I really enjoyed the lay out of the Ancient Cistern; the fact that it was beautiful, pristine and heavenly above, and hellish and demonic below was a really exciting set up. The Sandship was just plain cool, I enjoyed the entire sand sea area, and the ship had one of my favorite mini-bosses: Scervo. Although Dreadfuse in the Sky Keep was much more fun to fight, I still enjoyed every aspect of the Sandship. Running through it while Tentalus was destroying it was also awesome.
My favorite temple is the Wind Temple from WW. I really love the music in it. Plus Makar is there with you, and he's so adorable ;u;
My least favorites are the Stone Tower and Shadow temples, from MM and OoT. Stone Tower Temple was very difficult..I had to use a guide on this site and it took me hourssss..plus you had to worry about the stupid moon falling..completing it before the night of the third day DX
The Shadow Temple is a pain, too. Plus it was freaky. o-o;; I hated how dark and creepy it was..but that was to be expected since it was called "The Shadow Temple".
I'd have to say my favorite dungeon is Dragon Roost Cavern. It certainly isn't the best dungeon of the series, but it's fun none the less, and it was my first 3-D Zelda dungeon, so it was pretty awesome for me.