Which sadly loses out, in this Troper's opinion, to that of the sequel. Wow, EA knows how to get it right. Well, sometimes...
While Tanya has definitely had some shining moments in her appearances, in the original Red Alert's Tanya has a CMOA in a mission where she's captured by the Soviets and presumably tortured. She manages, with the help of a spy, to escape captivity and kill an NKVD interrogator, while handcuffed to a chair.
Original Red Alert, Allied first level: rescue Albert freakin' Einstein. Tanya shows up laughing. She kills anything you point to. Einstein runs to safety. Cruisers show up. The Soviet base gets shelled into nothing. Battle over.
Going by that, let's just say almost all the units in all the games. Special heart-warming win goes to the Avatar in C&C3, who speaks everything in a full-deadpan, evil Danger Deadpan-type voice.
"I want that."
And the Rhino Tank's epic declaration in Red Alert 2 (a reference to Nikita Khrushchev's famous rant at the United Nations):
"We will bury them!"
Which is utterly smoked by the Apocalypse Tank's new voice and quotes in Red Alert 3 - all of which put the prior Apocalypse's voice to shame:
"It is day of judgment"
"Bringing down the hammer"
"Taste your mortality"
"The Apocalypse has begun"
"Armageddon is here"
"They will run in fear"
And the return of the classic "We will BURY them!"
Red Alert 3's most awesome/funny sequence is a mission where all you get is a conscript and a war bear and you are told to go kill The Emperor of the Rising Sun.
And you succeed, although it's only a robotic duplicate. Still, it buys enough time for your army to show up.
During Yuriko Omega's mini-campaign in Uprising, she single-handedly a) destroys the Shiro Psychic Research facility, causing "many billions of yen" in damages; b) breaks out of cryo-prison and starts a riot among the Soviet and Imperial POWs that demolishes the entire camp, including two aircraft carriers, and c) comes back to Shiro, demolishes the place again despite their preparations, and caps the whole affair by taking down her Evil Twin "sister", Izumi.