I pretty much enjoy any Main Quest dungeon, becuase they're fairly extensive but also home to plenty of landmarks and varied architecture. Of these, my favorites must be Shedungent (pretty fun to navigate not to mention the awesome music), Scourg Barrow (
"You have gone too far!"), Direnni Tower (massive Z-axis emphasis is fun), and Orsinium (Orcs are just fun to fight).
In regards to regular dungeons, I've always enjoyed Castle Necromoghan Freeman, if only because I've been sent there so many times I know it all-too well.
Shedungent is awesome simply for the music. And the occupant is entertaining as well.
http://www.youtube.com/watch?v=4vIeqK8J3bI
I love that song. Daggerfall's dungeons are great in terms of ambience but that monotonous dungeon music can get boring after a while. This song is practically the opposite, makes you feel like you're on a great Crusade through the dungeon as it sprawls out in front of you.