for me I'd have to rank Blackreach (Skyrim) on top, followed closely by (surprisingly) that underground facility you find in Hackdirt (Oblivion) which I know really isn't a "dungeon" but still felt unique compared to the rest of the dungeons.

both places just had this creepy vibe I just can't explain.

http://www.gamesas.com/topic/1374118-favourite-dungeon-in-all-elder-scrolls/