After playing all kinds of different mmos over they years I'm convinced that every kind of zone can be awesome if done properly. With that said my favorite zones are always the ones out of the ordinary. Such as:

Alien like forests with lots and lots of color.
Ancient ruins, the ruins have to climable.
Creepy swamps with a halloween theme.
Huge buildings with a since of scale.
Extremely rocky deserts.

All of these zones have to be flooded with stuff. The forest zones needs to be thick with trees, ruins need to litter the ground, swamps need to be full of all sorts of nasty things, etc... I don't like big open zones without things in them. And they need to be thought of as a piece of the land instead of made for a video game.

The one zone I hate are lava zones.