The first dungeon I explored was "The Caves of Chaos" in B2, "The Keep on the Borderlands."
It is, of course, a classic.
I still have extremely fond memories of exploring the "Shrine of Evil Chaos" portion. My DM, Brian, really managed to evoke the atmosphere of the place.
It holds such a fond place in my memory, I later "converted" it to Savage Worlds.
The first dungeon I ever really "ran" as a DM was of my own creation. It was "The Evil Temple of Fraz'urb llu." You can find it here.