My favorite dungeon from Persona 5/Persona 5: The Royal would probably have to be Maruki's Labortory of Sorrow. I haven't played enough of Persona 4 to have a specific favorite yet but I'm working on it.
Ah yes, as the resident Persona 4 expert, either Heaven or Magatsu Inaba.
Heaven mostly because of the music.
Magatsu Inaba I just like because of the symbolism behind it.
if I had to choose I'd say the Hollow Forest.
Though Marie as a whole was kinda forced, their dungeon does a decent job of providing an atmosphere of hopeless acceptance that reflects her character arc at that point.