Hands down The Binding Coil of Bahamut. Never will I experience a thrill so intense when the boss reaches 10% hp.

Other than that, The Lost City of Amdapor for the amazing music and environment, Praetorium for the Megaman Style continuous boss + epic ending with that music on ultima, and Sunken Temple of Qarn for mechanics. I really hope that gets a HM version for a very, very high level.

Thornmarch gets a honorable mention too, makes me want to sing along everytime and the XM definitely made me twice the healer I once was.