Hmm... My favorite place is Sheterra. I kinda like the red sea and the moving platforms, as well as the fact that you're not allowed to fly there, which puts you pretty much on par with the enemies. Also reminds me of Demonis in KBTL
As for the least favorite place... It's more like a battle. Dark Mistikus' battle always gave me the creeps, because the arena is the same as Karador's from KBTL, and that was the most challenging battle of them all, and the most dangerous.