Pretty much the holy grail of urbexing, a friend and I made the trip out to a neat old mental asylum last weekend. Would definitely go again.
Make note of the impressive grafitti pieces on the walls, then take a second to feel angry about the horrid tags sprayed over them. Kids just have no respect these days. Standout pieces for me include this and this.
I also tried my hand at a little artful camwhoring as you'll see about halfway down the page. Didn't go well.