Hmm, let me think now:

Lava Reef Zone (Sonic & Knuckles) - A classic!

Red Mountain Act 2 (Sonic Adventure) - I was blown away the first time I played this level.

Volcano Valley (Sonic 3D Blast Genesis Version) - I actually enjoyed this game when I was younger. This level had some of my favorite music.

Lava Landing (Kirby's Epic Yarn) - The fire truck transformation make this an amusing level to play.