NiGHTS: into dreams: Twin Seeds, the game's final 'Dream'. Brilliant throughout, but the very beginning features a moment where the player's character is thrown away from the Ideya Palace by Wiseman, leaving them stranded on a small island at the levels edge, floating thousands of feet above the city and completely cut off from NiGHTS, with whom the characters join in order to fly. The player is given no more clues as to what they're supposed to do. What's required? The player must, of their own realisation, make a leap of faith from the island's edge. At that point, the character will fall, and disappear out of sight, the music dies, and for all intents and purposes the game appears to be about to go Night Over. .. And then with a sudden, violent revival of a far brighter bgm, the character comes swooping back up into the air, flying under their own power, having finally gathered the confidence and faith to fly alone. And then, at level's end, the second character meets the player's, unexpectedly joining together two apparently disconnected plotlines as Eliot and Claris work in unison to free NiGHTS and go on to fight Wiseman. This happens entirely in gameplay, without a word of dialogue or hint of a cut-scene, effectively dragging the player straight in alongside their character.
Bellbridge from the sequel. Best results come from playing Helen's story first. While the beginning of the stage isn't nearly as dramatic as Twin Seeds, there is just before the third course of the level... The lights go out... Helen screams... Her red ideya is taken from her, and she falls... Only to be saved by Will as the city lights up again, and the two of them fly the last course together as the musical embodiment of The Power Of Love plays. But if you play Will's story first, it's less breathtaking and more odd and out of nowhere.
NiGHTS is actually Sega's interpretation of the psyche. Each level representing a corner of the mind. Twin Seeds (the Growth) is the character realising they no longer need the Renegade Nightmaren Jester to hold their hand and dualize anymore. The "jumping to your doom" part is likely either belief that one can do it on their own, or just remorseful suicide. It's also here that Claris and Elliot first properly meet each other (maybe...), despite the implication that Visitors (dreaming humans) are supposed to be isolated.
Christmas NiGHTS also had Sonic the Hedgehog's first 3D Debut (Sonic: into Dreams), with Sonic performing the goals with running. The boss? Eggman imitating the Puffy boss.
The music from both games.
As a meta example - NiGHTS fanbase is awesome by itself.