The ending to Legend of Zelda: Majora's Mask... especially if you completed all the side quests in one three-day cycle (which is incredibly difficult) to get the "perfect" ending... is amazing. In case I haven't mentioned enough times this week, Majora's Mask is my favorite video game of all time.
My second favorite (ending, not my second favorite game) would be Conker's Bad Fur Day, which is brilliant, moving, and surprisingly mature considering the game that has preceded it.
Other contenders include Super Paper Mario (which, though the weakest in the Paper Mario series, was one of the most emotionally charged and surprisingly moving games in the Mario series), Final Fantasy IX, X and the "perfect" ending to X-2 (VI's ending is good, there's a reason it's my third-favorite game of all time, but it loses points for the "The Magic Goes Away" Trope), and of course the Portal games.
And, though Minecraft has no "official" ending, there is that satisfaction when you've completed a big project.