1. Blackreach 2. Bloated Man's Grotto (would come close to Blackreach if it was always in Bloodmoon effect and werewolves lived there to hunt) 3. Thalmor-controlled tower (forget the name, but I like it because I get to massacre and entire sect of snobby elves)
Havent been to many big one, but Blackreach was pretty nifty. Not much to it, though, if you don't count the space it takes up, which is bigger than any city in Skyrim.
It is a misty subterranean grotto with flowing water and lots of trees and ferns. The foliage was obviously tended by the many wisps living inside, because very little sunlight made it into the cavern... It had a superbly magical feel to it.