Some bosses can be good by the gameplay, and some can be good just by the emotions behind the story.
I really liked the Final Boss of Persona 3. The music was very well done, and you just had this sense of "We have to win no matter what". Hated the actual fight of 13+ forms though. Still haven't beaten that boss.
Some of the Kingdom Hearts Bosses, particularly those in Birth By Sleep, were very well done also. In Kingdom Hearts 1 and 2 you could pretty much button mash the way through. Quite the opposite scenario in BBS, as that can cause you to hit a wall. Blocking, managing a proper deck, dodging, knowing when NOT to attack, these all become important as the game progresses. Granted you probably could button mash and win, but I think it would cause a player more grief than necessary.
Some of the bosses in Nier were pretty cool to fight, and the one near the midway point was just really, really cool given the circumstances of the story. Can't forget about Shadow of the Colossus for very obvious reasons as well.
All I can really think of at the moment, but I'm sure there are plenty more.