The Otherworld and water slide sequences. They managed to be outright TERRIFYING, and the fact they made running away and near-helpless sliding through death-traps sequences terrifying is quite awesome.
The first time it switches to the Otherworld lets you know just how big this game is: you hit the fire alarm when the diner kitchen bursts into flames, and suddenly the whole ceiling just flies off and reveals the Otherworld surrounding you. The Otherworld in general is much larger than in previous games, both in the spectacular action sequences and in sheer size and depth.
When you first take on Napier in the beginning, you don't know why. Later, when you find out this Fat Bastardkilled and very likely raped Murphy's son, and replay the moment... it's satisfying that you get to brutally beat him.
An offscreen moment, but in the "Truth and Justice" ending, seeing Anne approach her father's killer with a gun behind her back... well, he deserves it, for sure.
The ending of the first boss fight Where Murphy knocks the Bogeyman to his knees and then steals the hammer while he's winded, before using it to deliver some long overdue karma. Also the scene right after it, where Murphey accepts responsibility for his vengeful actions by accepting the corpse of the first boss as "his own" to take care of.
The Post-Final Boss is the first time in the series that the game reverses roles, having the player be the monster while the enemy is the weak human trying to use her weapons and smarts to beat the monster. Despite the Artificial Brilliance on Anne's part, it's incredibly awesome to No-Sell everything she throws at you and beat her in a couple attacks.
Never actually shown, but what Murphy did to get put in jail in the first place. He stole a cop car and led them on a high speed chase across multiple states! That puts most GTA protagonists to shame!