Every dark place where's monsters. Thus my favourites are Archives, Wine Cellar, Refinery, Cellar Archives, Guest Room, Storage, Prison, Morgue, Sewer, Choir and Chancel.
Guest Room gave me one of the biggest heart attacks since there was no place to hide or run and it had given such a safe feeling at first. If I hadn't seen Amnesia's trailer where it's shown you can hide in closets I don't even want to think what would've happened. XD
Prison was probably the worst (read: best) place since it was so large, long and dark. When I entered the prison for the first time I was cursing myself for not saving enough tinderboxes. After the first blind playthrough I've started to save them especially for prisons so there's fire in almost every torch at the end. It's still too spooky if it's dark although I know what happens there.
I love how it's such a huge labyrinth with monsters spawning almost around every corner.
Though I have to say that although my faves are all the nasty places they wouldn't feel nearly as bad as they are if there wasn't those more safe and peaceful places here and there between them. If there was just darkness and monsters
all the time it might become somewhat tiresome and/or you'd eventually get used to it.
Imo probably the worst feeling in Amnesia was to leave a safe spot and enter the darkness again.