Yeah, the atmosphere and detail in Hexen is excellent. Its world is a lot more tangible than many similar games, and it's scarier than Doom, with the exception of the Arch-Vile and Cyberdemon.
To me the boring Doom levels were the ones where you have to hunt for switches/doors, or rather when I walked off the intended path and forgot where I was going. Hexen alleviated it somewhat with the random respawns to keep you on your toes. As cool as the relatively open-ended levels were in these games, sometimes you're left with no directions. When loading an old save in Hexen you might as well restart the "episode".
I think the most awesome and memorable level in Doom is still E 1 M 8
. The boss, the walls lowering, and the twist ending accompanied by the level's despair-filled music left quite an impression.