John and Kate arrive at Crystal Peak and attempt to get the main door open, when suddenly the T-X crashes a helicopter into the hangar door of the facility and steps out to pursue them. Not long after, the T-850 plows into the hangar in a goddamn Sea King helicopter twice the size of the T-X's heli, causing explosions and flames and crushing the T-X underneath. He then steps out of the wreckage, and proclaims "I'm back!" Damn near worth the ticket price alone.
There's also the scene in the graveyard where The T-850 pulls up in a hearse and shoots the T-X point blank with an RPG.
Building on that, there's a subtle nod (subtle, in this case, mainly because of the action surrounding it) at just how awesome the Terminator's raw power has become. One arm is holding a frantic half of a far more advanced killing machine, and the other is holding up a hydraulic door big enough to make the press that did in the first Terminator look like a nutcracker.
Also, there's just something so awesome about how, unlike the first movie, an actual Terminator is saying it.
As a Rewatch Bonus, you can see the T-850's exposed eyeglow brighter as he says his final line.
Let us not forget the look of the T-X when she realizes she is going to die, the T-850 has caused a unfeeling killing machine to feel fear.
The Terminator calling John's bluff when he threatens to kill himself:
"Based on your pupil dilation, skin temperature, and motor functions, I calculate an 83% probability that you will not pull the trigger."
Also in the graveyard scene, the Terminator sick of John whining and moaning while under the influence of SWAT Teargas. He grabs John by the throat strangling him repeating the lines John said to him prompting John to say the following line of Dialogue:
Terminator: You're right, you aren't the one I want. I'm just wasting time.