Trying to pick only the things everyone else hasn't already picked up on. Honestly, I loved so many things.
Finally meeting the Shadow Broker.
At first I was disappointed that, after all the buildup, he was just another alien but his voice, manner and backstory were spot on. Seeing this big, ugly monster sitting at a desk and patiently sizing up your party was priceless.
Mordin's whole plot arc
Seriously, I know his death is the best bit, but the whole thing is gold. The idea of this guy who starts out viewing the world entirely through dispassionate cause/effect logic learning to act for a better future without knowing all the variables seemed very real to me.
Legion's "direct personality dissemination"
Yeah, it was kind of cheap in that it never really explained why he had to do it, but I found that whole sequence was incredibly moving. It probably didn't hurt that Shepard's paragon speech to the Quarian fleet telling them to stand down was exactly what I'd wanted to say to them ever since Mass Effect 2.
The build-up sequence after Shepard gets shot by Harbinger
You know, that long thing where you drag yourself painfully to the conduit, then through the corpse-strewn halls of the citadel and through those weird cathedral-like rooms with the choral hum in the background and finally looking out over the ruined earth from space. I think it's probably the most atmospheric sequence in any of the three games, all told.
Mass Effect 3 did a great job of finally making Shepard feel like a character in his or her own right, and watching him/her drag themselves painfully around in the charred and bloody remains of their armour made me feel more invested in that character's fate than I ever had when I was commando rolling around setting people on fire.
The extended cut
I realize this will be controversial. But fuck it, it's my opinion.
I've only played one game since the Extended Cut came out, and got the most positive synthesis ending and it was exactly what I hoped it would be. From hearing other people talk about the different endings, I like how even at their most positive they are still kind of bittersweet. I think it has more meaning than just defaulting to the mega-happy ending.
So sure, I gave up my chance for little blue children, but in return the rules of life are fundamentally rewritten so that everyone else can live happily. I'm okay with that.
EDIT: Also, before I forget:
The Music
Seriously, the use of music in all three games is brilliant. ME1 often gets the most praise here I think because its music is so different, but every game uses its music brilliantly. I can't hear the suicide mission theme from ME2 without getting a little adrenaline rush, and the use of repeating themes for characters and story themes turned it into a neat little storytelling tool in its own right.