While I could just say the whole game, entering Anor Londo for the first time is incredible. Hell, entering Lordran itself is amazing on its own! The Ash Forest is another one. You have to go through the manky dump that is Bligttown to get there, which makes it all the more impressive in comparison.

I'm glad that someone has already said Okami. I second that game having some of the most wonderfully designed levels of any game.