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.