The Millennium Stadium hands down for me. I'm a fan of rugby and have been on several occasions (which has helped take the smear off of my first experience as a teenager - we all know the Blades match I'm referring to).
One such occasion was the European (Heineken) Cup Final. Northampton vs Leinster. The roof was closed and the atmosphere was electric. Northampton managed to squander a 22-3 half time lead to eventually lose the match 33-20, with all of the points (except for 3) scored at my end of the pitch. You walk out of the ground and the city is completely taken over by whatever event was held inside the Stadium that day, there's pubs everywhere and they're happy to have you. We're spoiled by Bramall Lane's location, in the same way the Newcastle fans are and the Millennium is much the same.
Wembley on the other hand, Zone 4 in the arse end of nowhere in North West London, has no roof and cost 3 times as much to build. Unlike the Millennium you also feel a million miles from the pitch and other fans. Load of shite.