'The Exchange'. Last mission where you FINALLY get to kill Catalina, and with a rocket launcher no less. Made even more satisfying by the difficulty; you start with no guns and there's no checkpoints along the way. Plus the news report cutscene that ends it.
Flying the Dodo (A plane with crippled flight mechanics) succesfully. Around the city. Even to "Ghost Town", the (normally unreachable) part of the city where the intro takes place.