The final battle with the Foosa in the first film.
Skipper's line: "We've been ratted out here, boys"
Alex's first real roar.
Madagascar: Escape 2 Africa
In the second movie, round two between Alex and the old lady- This time he fights back.
The writers get one when the animals are searching for water, with these two incredibly clever lines that really put the important things in life into perspective:
Gloria: Any water? Moto Moto: No, just more diamonds and gold.
Madagascar 3: Europe's Most Wanted
From the third film, the entire flying circus rescue, ending with Alex fulfilling his made-up Trapeze Americano act to dispatch DuBois.
The circus act they put on in London. It needs to be seen to be believed. It especially works when you remember you likely saw the film expecting the Zoosters to screw it up and have the show end in disaster. Instead, you see Vitaly start cranking as Katy Perry's "Firework" builds to the song's chorus and as it does, you realize, "My God! They're pulling it off!"
Special mention goes to Vitaly's fiery hoop act done right, thanks to assistance from Alex's mane conditioner and claw trick, which afterward seems to make them friends for life. (Would that be literalFire-Forged Friends?) Not only is the act itself an awesome and badass He's Back moment... it's only the opening act. And somehow, everything that follows is even more awesome.
One last mention to our Husky Russkie, his awesomeness is able to defy the laws of physics. It's the whole basis of his act.
"What does a human say when he's passionate? He says, 'I'm an animal'! Well we ARE ANIMALS!"
Also the way he goes about it. He sees everything go into place, and immediately tells Jonesy and Frankie to get ready for when he gives the signal. Keep in mind that the dogs were the most reluctant to rescue the Zoosters, and Alex is putting his life in their hands. They comply.