All these areas require the usual array of defensive magic (Protect, Shell, Float, Haste, Brave, Bubble, Libra):

Henne Mines Extension


Pros:
High level enemies
Close to an orange save crystal

Cons:
Unlocked late in the game

My place of choice to level. You can run back and forth from the save crystal without too much trouble. Equipping Black Masks, Rubber Suits, and accessories against Confuse are very helpful. Recommended only for about level 75+.


Lhusu Mines Extension


Pros:
Fairly high level monsters
Close to an orange save crystal

Cons:
Need to do some hunts and subquests to unlock.

I leveled a lot here when the Gilgamesh hunt first became available. The hardest region can easily overwhelm a party that's level 65 or below, so I recommend running to the blue save crystal and then venturing out, using the blue crystal as a home base. Also, watch out for the rare game Bombshell, he can be very tough for an unprepared party.


Pharos Subterra


Pros:
Easy to get in and out of any level using the elevator.
Relatively high level monsters.

Cons:
The side rooms start out in darkness until you can put Black Orbs in the shrines to bring up the light levels.
The fights along the inner rings can get very intense.
Unavailable until fairly late in the game, although earlier than Henne Mines Extension

I actually avoided this until after unlocked the HME and leveling up a bit to about level 85. That worked fairly well, but you have to keep moving if you are in the inner ring on any level, because the monsters will swarm you. The side rooms are a better bet, once you get the light levels up. This you can do by defeating the monsters you meet in the dark and picking up the Black Orbs they drop. You have to be touching them (like a treasure chest) or they will fly off after a short amount of time. It's very distracting to fight off a horde of monsters and trying to scoop up the Orbs at the same time.