Of all the ones that have been mentioned, I agree with Arx Fatalis the most. The whole game takes place underground and yet I feel the locations are quite varied and memorable. On top of that it oozes atmosphere. Dark spider tunnels, eerie crypts, that one area where under every step something squelches or crunches disgustingly, the chanting in the halls, and worse, deeper down ... I've seldom been as immersed in a dungeon crawler.

Parts of Dark Messiah of Might and Magic, the Elder Scrolls games and particularly total conversion mods like Nehrim and Enderal occasionally come somewhat close, but not quite. Gothic 1 & 2 might have qualified, but there isn't that much lengthy dungeon crawling in them. Elderborn was kind of neat, too, but short, and only partially a dungeon. I also liked what I played of Severance/Blade of Darkness and LotR: War in the North, many years ago, if that counts, though there are quite a bit of outdoor areas, IIRC. And Enclave, but it's not consistent dungeon crawling, only smaller dungeon crawls in the form of levels. In Neverwinter Nights, maybe Hordes of the Underdark and the Eye of the Beholder conversion.

Oh, and Vagrant Story on the PS1! Definitely Vagrant Story. Even though its systems were a bit too hardcore for me. But I loved storytelling and atmosphere.