Personally, I have two from Mass Effect:
Mass Effect 2: Lair of the Shadow Broker, particularly on the Shadow Brokers Ship. Traversing the outside was fun, a little hectic, and the banter was fantastic. Not only that, but the boss fight at the end with the Yahg, felt extremely epic to me, making Shepard out to be a total badass. Lone human essentially getting in a fistfight with an alien that's twice their size, and likely stronger?
Sign me up.
The other is from Mass Effect 3, particularly the ending mission. Now hold up! Don't spew vitriol at me yet, because I don't mean the ending run. No, I mean the holdout just before, where you have to defend yourself against constantly advancing Reaper Forces while waiting to be able to kill a Reaper.
I don't know why, I just found it unbelievably fun. There was ALWAYS a target for me to cut down, I was usually running out of thermal clips, meaning by the end I'd have switched to my Phalanx, or whatever Pistol I would have been in the mood for, and really, it just felt like an awesome last stand. Even though it wasn't, sort of.