The Zelda-series in general, but most of all Ocarina of Time, Majora's Mask and Twilight Princess. The atmosphere in dungeons is something special; for some reason I especially enjoy dungeons where there are brief moments you go outside again (like the Spirit Temple in OoT for example). I think it's the contrast between the bright, often open spaces outside and then going into these really dense and dark caves. That feels more powerful to me than games where the mood remains mostly the same throughout.
It's also why I really enjoy the opening in Bioshock. Just the experience of swimming in this open ocean before descending down into Rapture. Really powerful shifts in atmosphere.