In Resident Evil 0, I'm gonna say the research facility. Although, the train was great for the little time we spent there.
In Resident Evil 1, the mansion in general I loved. Probably my favorite location in the entire series.
In Resident Evil 2, my favorite location was the police station, but that might be obvious.
In Resident Evil 3, I liked the hospital. It had a really dark atmosphere to it. You could feel the death in the air. Well, I could anyway. At the beginning, when you see a zombie walking slowly around the corner and a hunter just jumps at it from behind, slicing it's head off, that was a great touch.
In Resident Evil Code: Veronica, all the locations I liked in their own way, but my favorite is probably the prison grounds/Ashford residence. And the first time you see the residence, the lightning flashes and you hear Alexia's creepy laugh...nice touch with that.
In Resident Evil 4, it's hard to choose between the village and the castle, but all in all, I think I'm gonna go with...uh...the castle.
In Resident Evil 5, the whole ruins area. You know, the area where it feels like an ancient temple or something. I didn't like the last two areas much, the whole lab area and then the cruise ship.