Dual Wielding. To compensate for the fact that two people are playing, the game pumps up the difficulty for two player. Grabbing both guns and going Guns Akimbo in the Arcade solo and finishing the game? Brilliance.
If you fulfill a particular task that lasts throughout the game (saving every civilian in 1 and 2, rescuing your partner successfully every time in III, getting a B or higher in every chapter in 4), the game treats you to a bonus room full of extra lives and point-bonus items right before the Final Boss.
Getting knocked nearly off the rooftop by Hanged Man and finishing him while dangling one-handed from the ledge was and still is a pretty cool moment.
The fact that not only was Sophie the only person on the DBR research staff that called for outside help from the AMS right away when zombies started showing up, but also managed to almost make it safety before Rogan and G even showed up is very impressive, considering that she is just an unarmed researcher. The existence of Lisa, the son of her and Thomas, in III confirms that yes, she survived and the good ending is canon. It is not hard to see where Lisa got her Action Girl side from.
The House of the Dead II
Playing House of the Dead 2 for the first time and reaching the Stage 5 boss, provided that you played House of the Dead 1 in its entirety beforehand.
Even better once you realize that his lines aren't as Narm-filled as the dialogue for the other characters.