There are so many good instances in Warcraft. With the Cata there were a couple of revamps which added some interesting game mechanics to lower level instances. I like how Blizzard has changed things so not every low level instance is just a tank and spank.
As for my favorite instance it would have to be Black Rock Depths. During BC I used to run that instance over and over getting enchanting mats. In under 2 weeks I was able to buy fast flying for both Grumble and I. I like the fact that after the split at the beginning the instance is very linear but when someone new runs it doesn't seem to be linear. The instance is very organized chaos.
I also like the fact that this instance was the first one that involved any type of game mechanics to get through it. You have fights with adds, fights involving a whole group of mobs coming at you one after another, and the room where you have to get the torches and light the braziers within 5 minutes or your torch will go out.