I found it to be much harder to decide on my favorite stages over my least favorites, since there's so many stages I like in Keen 4 and for various reasons. Ultimately, here's the ones I decided on and why:
Miragia: Like a lot of people have been saying, this stage just has a nice, chill vibe to it. There's never any part of the stage that feels unfair, and visually it captures how it feels to be indoors in the desert, like it's nice and cool indoors, but it just looks hot and barren outside. Also, the secrets are neat and I also really enjoy that little area where you find the extra life, and as StupidBunny mentioned, this stage just looks and feels like it's very cozy, and it makes you WANT to be in this stage.
Perilous Pit: I think this stage does a good job with a "less is more" approach. When you really break it down, it's a simple layout in a small stage. It's also nice that, unlike some of the other stages, you're out in a big, open space that acts as a hub to the other room. Also, visually, the woods stages have always been favorites of mine for their scenery, which while neat, can also be a little creepy at times. I've always been a fan of stages with a dark woods theme to them. Also, kind of like Miragia, this one to me has a bit of a cozy feel to it, having an underground theme while still being in the middle of the woods.
Chasm Of Chills: I'm surprised that so many people dislike this stage, personally it's one of my favorites. Before I get into detail, I want to mention that I do understand where people's frustrations come from on this stage, and I'm not even saying that it's the best designed stage in the game, but there's a few reasons why this one stands out to me. One of my favorite things about this stage is the atmosphere. Most stages in Keen 4 have a very bright, colorful look to them, and give you a sense of warmth and welcomeness. This one on the other hand has a very dark, gloomy look to it that makes it feel like a very drab, cold place (and now that I think about it, this is the only arctic stage in the Shadowlands that seems to capture that), from the mostly grey, rocky aesthetic, to the darker sky, to the feeling of being trapped in a pit, it gives the stage a more foreboding, unwelcoming feeling. Also, this stage left a huge impact on me as a kid, as it had one of my favorite creatures from the game: the Thunderclouds. As a kid, I had a fear of thunderstorms and when I first encountered these creatures, I was terrified yet fascinated by them. As for the level design, if you don't go looking for secrets it's pretty average, but that's what I think makes this stage so good is all the exploration the stage has to offer. This stage has a lot of secrets, and it adds to a lot of extra challenge and ways to rack up extra lives and points.