John Dunbar's failed suicide attempt. Just the glorious way he spread his arms out free while riding in front of the Confederates who, miraculously, just keep missing him.
Actually, bullets at the time were still notorious for curving to the point where most shots missed (however, the meneball bullet was still a lot better at going straight than ammunition from previous wars). Even so, Dunbar's survival of that ride is still an eyebrow raiser.
John Dunbar is captured in full Sioux dress by US soldiers. They aren't being very polite with their interrogation, so Dunbar gives up trying to tell them about his orders, and decides to tell them in the Lakota language who he has become:
My name is Dances with Wolves. I will not talk to you anymore. You are not worth talking to.
There is the moment when John is charged with helping protect the camp's women, children and seniors while the men are on campaign. Suddenly, it is discovered that a Pawnee war party is coming to attack and they will not leave survivors. At that, John tells the camp that he has a cache of rifles buried and he and a boy frantically search for and dig it up. As a result, the Pawnee get a big surprise when they expect to do an easy massacre, only to find their would-be victims are equipped with state of the art personal firepower and mowing them down.