All those I am going to mention I think has already been mentioned once before but they are awesome, so they deserve to be jotted down again.
Half-Life - Blast Pit -- Challenging, fun, and it also shows how quickly the Xen have taken over Black Mesa and installed themselves and how powerful they are. I love this level even though I died a gezillion times when I first tried to beat it.
Half-Life 2 - Ravenholm -- So unsettling, so atmospheric, very well-designed level. Perhaps the best in the game itself and the future episodes, I really enjoyed Ravenholm (if not mostly because of Father Grigori, the classic 'no-fear' mad priest character). The screams of the Fast Zombies are bone-chilling the first time you go through the level.
Vampire Bloodlines - Grout's Mansion -- Spooky and unsettling, but not horrifying like earlier in The Hotel level, Grout's Mansion just does it every time for me. The atmosphere is great and has really been paid alot of attention in developing this level and I really love it, this is definetely the best out of the entire game.
Psychonauts - Lungfishopolis -- The level I use constantly to try and convince people to try and buy this game (if they haven't already), because it is hilarious. Turns everything upside down and let's you live out that Godzilla fantasy you've always had.
Serious Sam - The Great Pyramid -- Just one big complete 'WOW!' moment. An epic level, nothing more be said. It is even better in the new HD version of the game!