Honestly, the most popular opinion is Okumura's and while I agree, I think it's only viable the first time through, at least for me.
To me, the only bad part of Okumura's is the first section; the hallways. They all look the same and you just want to bypass them.
Your first time through, it's very easy to get lost, coupled with the fact that 99% of enemies resist melee attacks, meaning you have to use your SP constantly, draining it very quickly.
If you've never played this before, you'd have no way to know it's so radically different and thus might not have SP Adhesives or coffee/curry, etc. In that sense, it's very frustrating.
Second time through, I was prepared and knew my way around, and while I still hate that the halls all look virtually the same, I got through it quickly. After that, I think the Palace is quite interesting and definitely one of the most challenging.
For me, it'd have to be Sae's palace. The casino setting was nice to look at, and I absolutely loved the theme there and how it tied in with luck and winning. However, I hated playing the games to scrap up coins. I know they were rigged and that you had to re-rig them to play in your favor, but it seemed a bit repetitive after a while.
And the battle with Sae's shadow was... certainly unique. I generally never like it when luck is incorporated in certain games, so playing roulette and betting on stats was kind of a pain for me.
I made this same mistake too my first time playing and then I had to play more even after rigging (fair chance) to be able to progress or buy a Soma.
But really if you don't touch anything yourself, you don't ever need to gamble at all.
(edited by TogoSystem)