For Baseball I've had the priveledge of going to alot of different baseball parks, since I'm a huge baseball fan it is a little hobby of mine. I've been to Kaufman Stadium in KC, PNC Park in Pittsburgh, Jacobs Field in Cleveland, Turner Field in Atlanta, Great American Ballpark in Cincinnatti, Yankee Stadium(Only got to walk around didn't actually see a game) and Shea Stadium in NY, Wrigley and Cellular field in Chicago, Fenway Park in Boston, Skydome in Toronto and living in Detroit I of course been to the Old Tiger Stadium and Comerica Park. And without a doubt the nicest out of those has been PNC Park in Pittsburgh. That is just a beautiful park, the only thing that it is lacking is the atmosphere cause the Pirates suck but if they ever get good it would be a great place to watch a playoff game. Out of the parks I haven't been to I think Minute Maid Park in Houston looks sweet and I always liked the looks of The Ballpark in Arlington where the Rangers played.
For basketball, football and hockey I've only been to Detroit area arenas and the United Center in Chicago so I don't have much to choose from. The Palace of Auburn Hills is a great venue and way ahead of it's time and Ford Field is a great venue as well but the Silverdome was a dump and so is Joe Louis Arena and Cobo Arena. Judging by pictures though I think Conseco Fieldhouse in Indy where the Pacers play looks really nice and hopefully I'll get a chance to go there one day.
So from my personal experience PNC Park in Pittsburgh is the nicest stadium and judging by the looks of other baseball parks I would say it's the nicest out of every park. If you're talking best though for history and atmosphere then Yankee Stadium has to win hands down, there is just so many memorable moments and so much history in that park.