Let's see....The Well in Ocarina of Time. A wonderful trick-or-treat bag filled with undesirable grouchy insects, giant spiders, flaming demon heads, shield-gobbling Likelikes and enough dead ends to keep you reaching in for more and more handfuls of pain.
The region at the "bottom" of the world, below Deep Sky in Skies of Arcadia Legends. No light, just a claustrophobic little region filled with endless mud and strange creatures who enjoy snacking on your face...or rather, your ship's...face. Plates. Hull faceplates. Although De Loco's appearance really brightened things up, because he's great at doing that.
Eternal Darkness gets a nod in general, but in particular the level where you take control of Edward inside his mansion and you have to face the Vampire beast. It's not enough to replace half of the demon's blood with lead: once you've done that, it'll retreat downstairs to replenish itself and scamper lovingly back up the basement stairs to wherever it is you've decided to hide. Extra creepy points because the music will shift just slightly when it's getting closer, and you can start to hear the scratching of claws on the floor...
Yeesh.