Everything about Cochran, frankly - Even the Affably Evil stuff at the beginning to just the slightly squicky way he puts the mask over the kid's head, his little breath of satisfaction on Halloween morning, the subtle contempt in his voice over what Halloween has become in the modern day - little more than kids going out begging for candy - and the way he accepts 'defeat' with a smile and a little golf-clap. Awesome.
The boldness of the final scene, too; In the previous movies, Michael was 'killed' at the end of each of his rampages. Here? The bad guy is stopped and yet he still wins, with Challis' harrowing scream telling us that a lot of people are going to die that Halloween. Naturally, not awesome in the sense that thousands of children will probably die, but most horror films end with the threat over; Halloween III doesn't.