Slaughter Shaft is definitely the way to go for quick levels and lots of legendaries. On lower mayhem levels it’s not so bad, but it can get pretty crazy as you bump it up. It’s ok if you fail, you’re still getting the drops and XP as you go.
If you prefer bossing, just pick whichever boss you can kill reasonably fast.
The Mother of Grogans in the Anvil is good if your on a fast PC with quick load times. You can knock her out with a single melee attack and save quit, no need to mess with the dragons.