Mexico is one long Crowning Moment Of Awesome for John. Not only does he manipulates both the Government and the Rebellion in order to get his objective, he also manages to win some of the biggest shootouts in western history. He's pretty much the one who decides who wins the war at the end, even if he doesn't care.
Except for that one time he almost gets executed for betraying the government. Then it's a Crowning Moment Of Awesome for the Rebels.
John riding to reunite with this family while epic music plays.
The Assault on Fort Mercer. Sure, it's not really far into the game, but seeing Marston pop out of Dicken's wagon with a gatling gun and absolutely lay waste to dozens of mooks definitely belongs here.
This is just me, but as a huge fan of Preacher, I found it immensely enjoyable to don a duster coat, pick up a 6-gun, and turn on infinite ammo, health, and Dead Eye cheats in order to walk around role-playing the Saint of Killers.
Random encounters can easily become awesome depending on the player's actions. But the coolest has to be when bandits attack a town and you stand out in the middle of the road as they come to you, whip out your revolver, activate deadeye and headshot each bandit off their horses staying still as the horses run right past you while your duster coat blows from the wind of the running horses. As a bonus the guy they were dragging and the townsfolk will thank you for such an awesome display of badassery.
This troper had a similarly awesome experience that gave Marston Chronic Hero Syndrome; he was in the middle of rescueing Floyd Brogles at Gaptooth Breach when a "Hangman's Noose" NPC came asking Marston to come help save his wife. The player then left Gaptooth Breach, followed the husband, shot his wife's noose loose, killed the criminals and then road back to Gaptooth Breach to save Floyd, get the treasure and then completed the second phase of "Funny Man". Pure Win!
And again, during "The Gates of El Presidio"; during the chase with Javier Escuella, I shot down his horse, engaged him in Good Old Fisticuffs, until he tried to steal my horse, at which point I had to kill the horse, and kept beating him until he started shooting at me. Then I had to kill him, all while a thunder storm occurred to add to the awesome.
For me I like to stand on the balcony of the Saloon of Armadillo and when I hear gunshots and hear them coming I whip out my Winchester trigger Deadeye and take them all out with one bullet each. After that I calmly put away my rifle head downstairs for a shot of whiskey and go play Poker like nothing's happened at all.
Random happenstance can turn many of the games moments into cinematic triumphs. For example, it's completely possible to duel Edgar Ross, during a thunderstorm, in the middle of the night, as wolves circle you both.
Meta-example for Rob Wiethoff. Despite it being his only video game role ever, and one of the only acting roles he ever had (especially since he retired from acting shortly after), Wiethoff's performance as John Marston is regularly listed as one of the finest voice acting performances in gaming history, being placed near the top of many "Best Ever" lists for voice acting.
Managing to kill a cougar, especially in multiplayer mode, where they can One-Hit Kill you. There's a reason cougars are such a memetic badass on Gamefa-*COUGAR'D*