Pick your favourite dungeon from each TES game...
Daggerfall - Castle Wayrest. Truly gargantuan in size, a labrynth of twisting hallways, passages and chambers that you will get lost in. Everyone should play Daggerfall for its dungeons, but the size of castle Wayrest takes the cake. It's not a dungeon dive, it's a dungeon expedition.
Morrowind - the entire old Mournhold undercity. From the sewers, DB sanctuary, old tombs, caves all seamlessly interconnected. For the same reasons as Wayrest, Old Mournhold feels less of a leasurly jaunt and more of an expedition.
Oblivion - Ebrocca. Few dungeons in Oblivion really intimidated me, but once those trapdoors opened in the first hallway, I knew getting out was not simply a case of turning around. The dungeon had swallowed me, and I had no choice but to press forward, picking up the various lore along the way, telling of the construction of the keep. Not to mention the dungeon was gigantic, which hearkened back to the glorious DF dungeons. If you've not visited Ebrocca, load up Oblivion now and check it out.
Skyrim - Blackreach would be the most easiest answer, and for that I wont mention it. Everyone knows why its awesome so I wont preach to the converted. I will mention Nchuand-Zel, the ruins beneath Markarth. No only was it huge, but it had what I felt other dungeons in Skyrim lacked... which was various paths and hallways. Too many dungeons in Skyrim were just straight A-B corridors, which really let them down. A good dungeon in TES, upon entering them should always leave me asking 'left, right, straight ahead, or down that pit'. Ayleid ruins were superb in this regard, and so was Nchuand-Zel.
All in all, I gotta give the greatest dungeon award to Castle Wayrest. Even the good dungeons in Skyrim pale in comparisson.