My favourite is Nessus, just looks awesome and has different levels of structures, feels good playing on Nessus.
La vote!
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Venus. The Citadel was my favorite. I also liked the Plaguelands and Forge. First area in the Dreadnaught was fun for just endless killing and trying out heavies. Most locations in D2 are just hit and run public event stops. The only place I will hang out for a while and shoot things is Mercury. Yeah, it is small, lacks sparrow travel, and has a slow return for a public event, but it feels more like a single patrol location from D1 than anything else in D2.