Favorite area? Hm... Most likely the Hidden Village in Twilight Princess.
Why? First off, the music is awesome. Makes it really feel like one of those old gunslinger movies. On top of that, you get to have fun finding every possible way to kill a Bokoblin. Personally, I would don the Zora Armor, burn my wooden shield, equip the Ordon Sword and run in attacking. Called myself the great Zora, an imitation of Zoro, for those that know who that is. The Cat minigame unlocked afterward is also fun, if not challenging.
Other than that, my only favorite places are the Pirate Hideout in Majora's Mask, and the Gerudu Fortress in Ocarina Of Time.
I love the stealth element introduced, although Gerudu Fort was much more difficult, as the guards didn't stay out. The Pirate hideout, however, was much more puzzle oriented. If they allowed you to, I would love to refight the Gerudu Fortres again and again. The music is fitting, but it could have been better, especially for the Pirate Hideout. It sounded a bit too much like a dungeon than anything.
(Pictures on the way)