My favorite stage of Terraria has got to be Pre-HM. It introduces you to a whole new world, where you come across unpredictable traps, valuable treasure, and life-threatening enemies, it makes you feel like a wandering traveler, learning the basics of the world you live in. it feels so satisfying to find your next life crystal, craft your next mana star, get an OP weapon like the minishark, etc. Defeating a new boss feels rewarding, especially because most bosses in these stages are optional, other than the fact that some are more powerful than others. It makes you feel like a defender of the world ready to slay anything in your way.
The excitement carries on until the beginning of hardmode. HM makes you feel like a grinding machine, forced to continue looking for resources to survive. You already know the world you've inhabited, and sure, there are some new things to discover, but these new elements being introduced by HM are undermined by the feeling of having to spend 2 hours looking for this thing, and 3 hours looking for another thing. Also, most of the HM bosses don't have any new abilities or AI behavior introduced on Expert mode, which makes it inferior to Pre-HM in terms of the feeling of being introduced to something new.
Also, Post-ML is just boring. There isn't anything new after Post-ML, and you can't go back to Pre-HM conditions. Corruption and Crimson still spread like Post-Plantera, and there isn't any other objective anymore. However, some people can find other activities like building towns and cleansing the world.