well it depends on whet type of character you are the most common places are
hell andy (choose a soso)
hell mephy (choose a soso)
pits (bowazons javazons hammerdins)
lost city (cold soso)
diablo (hammerdins/javazons and bowazons mainly)
baal (hammerdins javazons or anything given a good party)
cows (javazons and anything else that has a high aoe skills)
also note that a skelemancer can do most of these areas but take a little more time to kill monsters but still very viable to use
ancient tunnels - found in act 2 lost city. Can drop (almost) any item in that game and there aren't natural cold immunes.
Mephisto, starting in nightmare until you get the equipment needed to take him on in hell, don't forget to use the moat trick if needed to survive.