For me,

1. Finding the book 'Shadowmarks' by Delvin Mallory was so cool. i had no idea about all the markings etched into wood or stone next to buildings around skyrim which gives you clues about which houses the thieves guild have marked that are or aren't worth looting. Then all of a sudden you start walking around and noticing these etchings everywhere that were effectively invisible before. A really nice touch in the game.

2. At the atronach forge I put 4 ingredients together from a recipe. Wasn't sure what I was going to get. A staff magically appeared and rolled slightly on the dais of the forge. When I walked up on the dais, it was a staff of frost atronach. Perfect! I loved the idea of having my own frost atronach. Defnitely wasn't expecting a staff where I could permanently summon one. it was an exciting game moment for me. The first time I felt I was beginning to get some real power behind me.

3. My first set of Daedric Armour. Looks so cool. Novelty eventually wore off, but I still wouldn't want to wear anything else.

1. Finding The Steel Battle Axe of Fiery Soul Trap, this is a favorite early weapon for almost all of my two handers and mage characters.
2. The Flaming Familiar Spell Tome, this is an early must have for my conjurationists, and Anska would make a good follower
3. Bloodthorn and Predator's Grace, a dagger that absorbs an opponents health and casts Soul Trap, and boots with Muffle and Stamina Regen enchantment - these two are a must for my stealth characters. They are found in the same area, but are dangerous to get.