The fight against the Core, not to mention the music.
Raiding the Sacred Grounds with Curly strapped on your back who gives you some GREAT cover while a great music plays and the story of Ballos unfolds. The two bosses at the end, the Heavy Press and Ballos, are both amazing fights, as well.
The fact that this game was created entirely by one person. From scratch. Including the game engine and music software.
King in general. Especially after he dies, if the sword is powered enough his ghost will appear and fight with you TOTALLY BADASS
Before the the Sacred Grounds, there is another awesome Curly moment. Going through the heart of the labyrinth with Curly's theme while destroying everything in your path feels awesome.
Fighting Monster X. Riding and jumping from tank tread to tank tread, avoiding missiles and other creatures, and attacking at key moments all at the same time gives a great feeling of speed and precision to the fight.