Going after Shaundi at the end of Saints Row 3 with http://www.youtube.com/watch?v=4UpqLhYQz28 being played in the background. I was actually going after the other guy but when that song started playing I just had to turn around. It was epic.

Suicide Mission in Mass Effect 2. Nothing else Bioware has done in the last 10 years compares IMO, and it was very surprising they didn't do something similar for Mass Effect 3. They had everything they needed right there.
The Milkman Conspiracy in Psychonauts is great.