Time to quote an old game...
Doom 2. The final level was probably the best arena in FPS games ever.
Hm. No, wait, I revise that.
System Shock 1. Not the second game that everybody likes, I truly mean the first one. Fighting SHODAN in a wireframe cyberspace, within a limited amount of time, while your screen slowly fills up with pixels that end up forming the image of SHODAN's face (and when it happens, you die)... yes, I think that is my favourite "final boss" fight ever.
[edit: Oh, and GLaDOS in Portal is definitely a close second... but the best thing is what happens after you win the fight. ]