Yes, the dungeons. A pretty huge topic to discuss - after all they're more or less the starting point of this whole story. As far as we know Magi can make them appear and disappear at will but what is their ultimate purpose? How are they created and what's with the Djinn inside the Dungeon? Are they made artificially by the Magi or are they the spirit that dwells within the place where the dungeon was created?
As of know they're a pretty huge mystery to me and I'm a bit sceptic when it's about the Magi being able to make them appear at will. There's probably some kind of big obstacle to prevent the Magi from creating countless of the Dungeons, otherwise it would be overkill <_<
That being said, my favourite Dungeon probably would be the very first one. Nothing special but it really gave me the feeling of being a limitless place. Not to mention the nostalgia factor with Aladdin and Alibabas first interactions XD