Call of Duty 4's All Ghillied Up just.. had me. I cannot explain it any further.
The other Vaults, bat shit randomness and epic moments in Fallout 3, no other game like it. 'Give me the naughty nightwear'
Getting 'wasted' in GTA IV by the most extravagant ways was awesome, best was when I survived jumping out of a helicopter basically nose-diving.
Lot of other GTA moments, I simply cannot fit it into one post. What a series.
For MGS, refer to above. Final battle of MGS4 was immense.
So many others, even in sport games where you score a insane goal in extra time from outside the box. A clutch 3 Point shot, etc etc.