There's a couple for me.. can't really find any decent pictures of it, but I first saw it during the Euros 04 and fell in love with it. The BRAGA STADIUM, Portugal, carved into a disued quarry:
Shame it has a small capaity and only 2 sides of seating, but from an aestatic point of view it's very nice.
Favourite one I've been to is the Brit Oval.. such a contrast from the historic Pavillian (1850/60.. not sure) to the new Vauxhall end (2002):
http://upload.wikimedia.org/wikipedi..._May_Stand.JPG (link.. v large pic.)