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Always enjoyed Thames Wharf as there's so much you can do there if you know a few tricks, great atmosphere too.
Nevada and Crash Site I think are great levels too. However I've very recently just played TR3: The Lost Artifact expanded PC version and I'd say the added levels are my favourite over all set. There's a bit of padding and going over old ground but the level designs are often brilliant.
If you can get hold of a copy and your PC is suitable it is a must play for any old school TR fan.