No one knows what the very first dungeon was, but gun to anyone's head if you asked, most people who know about how these things work would say it's Nightmare. It's far from the most normal dungeon, in the most technical of senses, but it certainly is the paradigmatic one, when thinking about how bad dungeons can get. There's arguments, there'll always be arguments, it doesn't cook you inside your skin, it doesn't cause unending agony, there's lots of things it doesn't do that could reasonably be described as worse along one axis or another, but the thing it is, really, is evil. The thing it does is evil.
It reaches inside you, it finds the worst it can there, and it gives you it. It gives you the worst it can see in you, over and over and over. It shows you your worst nightmares, in gruesome detail. If you lost someone to suicide, it will show you how much their death must've hurt, or how they did it swiftly and without wasted time, or how long it took them to actually die, or it has them tell you in detail how much they hated their life and how much it was your fault just as they die. If you were in an accident that nearly killed you, you will relive that accident from every possible angle, you will see it in slow motion, you will feel it happen again and again. If there is anything you love, it will take it from you and twist it beyond recognition. If there is anything you fear, it will present you with it on a silver platter, inescapably, and it won't even give you death should you seek it. It doesn't need to burn you from the inside, when it can make it feel like you do. It doesn't need to do anything for real, and it's worse for that, because however bad it gets, you know it will just keep happening, forever.
It's not even all just an illusion. That car accident that keeps almost killing you? Those cars are there. They're really, actually there. When the rescue espers come for you—if they come for you—they will have to weave between those crashed vehicles, skip over the corpses to find you. The spiders you're terrified of? They're there, they're really there, you can't just close your eyes and hope they'll go away because they won't.
And if that's still not enough for you, you can't actually leave. Even should you find the exit, somehow—and oh, will you see it, you will be given so many opportunities to seek an end, and none will be real—you can't step through it. You can't leave, not until someone helps you. Not until they find you and create a psychic shield to protect you from the dungeon and clear the mark it leaves on you. For as long as you're marked, you're Nightmare's. It can see you, it knows you, it can find you, and you can't leave. It can find you again. It can find you again, after it's gone, and it can bring you back. You're not safe. You're never safe. You will never be safe. If you ever, ever think you'll be safe from it, you'll be wrong.