I think it changes depending on the genre of the game.
For futuristic games, I've always been fond of a neon skyline for traversal. Streets below it are cool too, but not a whole lot beats flying in the air hundreds of feet above everything else. The games with that as a setting had names that currently escape me (except Mirror's Edge, I remember that shit), but I always remember it being cool as hell.
For non-Dragon Age/Skyrim fantasy, I enjoy expansive caves with water (while optional, it can enhance the experience) and weird creatures. Glowing plants/bugs may be a cliche-as-hell lighting system, but it's also cool as hell. Just has a super fun vibe that few games match properly, never fails to be cool or creepy. Sadly few games get it right, but those that do make it so well.
For games like Dragon Age or Skyrim, tall mountain ranges get it for me, so long as they're traverse-able. Couldn't tell you why, but it's always really cool.
Modern shooters do well in forests or urban settings. Much to my dismay, Call of Duty gets those kinds of levels pretty right when they do them. They can feel guided without feeling expressly designed for the player.
Honorable mentions include Hyrule-like fields and Darksiders-like architectural puzzles/mazes.