BF2142
It was the first time I played Titan mode, when my squad moved into the enemies Titan, we moved swiftly like a real unit. We each played to our classes strengths, knocking out all their security measures, plowing through their choke points, and then setting up a parameter while our demolitions guy and our support guy took out the reactor. Also, we all made it out alive, barely, fighting every step of the way.
Words will never be able to truly explain the experience, IT...WAS...INCREDIBLE. I will always miss BF2142, as I don't think they will come out with a sequel, and if they do, I just have this feeling it will not be the same experience.
Metro 2033
I feel like there are plenty of scenes in this game to mention, but I will go with the one towards the beginning, where you and some other guys are in a train car, all of you fall unconscious, and you wake up to monsters chasing you. It was intense, it felt real, and again, it was incredible.
EDIT:
Amnesia: Dark Descent
Just about every fucking thing in this game. Every scene...almost. Particularly the scene with the invisible water monsters. I have never been so scared in my life. This game, this game...THIS game, this is the best survival horror I have ever played, ever. Some people could not lose themselves in this game, but I could, and it was incredible.
Far Cry 2
There were only 2 things I didn't like about this game, but they were BIG. Terrible vehicle controls, and re-spawning checkpoints. However, one of the coolest moments I EVER had in any FPS, was when I swam through a swamp, emerged on the other side only to see an enemy combatant with his back turned to me. He turns around, sees me, sees my gun, and... puts his fucking hands up.
His gun was hanging on his back, so he knew if he tried to pull it out I would have killed him. He says to me "Be cool man, be cool, it doesn't need to go down like this" I look around slightly, without taking my gun too far off him, I see his friends about 20 meters away facing in the other direction. As I am turning back fully to the guy with his hands up, he goes for his gun. I kill him naturally, luckily my gun was silenced, then I wait for his friends to come looking for him, and take them out too. Holy hell, despite this game's very irritating flaws, this single scene made the game for me. Talk about immersion. Just to be clear, this was NOT SCRIPTED. It was all random, and it was all incredible.