When he uses a huge anchor and its chain as a weapon. The look on Charles' face is priceless, because it shows that even he hadn't anticipated just how much power a mutant could have.
Even more awesome for the audience, because we know that that's only a fraction of Magneto's full potential, as anyone who remembers the scene where he lifts the entire Golden Gate Bridge in X-Men: The Last Stand can attest.
After making Emma Frost revert to her human shape by crushing her diamond form with a bedframe, he wanders over and starts eating the crackers that she was munching on earlier, like he's not even paying attention.
Erik flying for the first time. We knew he could do it, but it's still awesome.
Very much a YMMV thing, but to this Troper, Magneto's response to Xavier's "they're just following orders" line was probably one of the most awesome moments in the movie, and perfectly defines Magneto's character.
Erik catching all those dozens of missiles mid-flight and sending them back despite the various distractions? Lifting the sub was a fantastic display of his raw power, but the level of control and precision he shows here proves just how dangerous he really is.
And, finally - three simple words: "I prefer...Magneto". Seeing Erik in the iconic cape and helmet, you can actually hear any disappointment the third film inspired vanish into thin air.
Shaw gets one early on, when he demonstrates his power to Colonel Hendry, by taking a grenade which the good Colonel brought along in case of a double-cross, pulling the pin, and absorbing the explosion.
"You wanna guess what I can do? I got the power to absorb energy, keeps me young. But that's the boring part, the fun stuff is what I can do with it, once I've got it."
(He taps Colonel Hendry on the shoulder, vaporising him almost instantly.)
Emma Frost beating Erik without any effort the first time they meet. She just casually swings her arm and knocks him off the boat.
Xavier using Cerebro for the first time, and the "recruitment" sequence that follows.
Azazel taking out the CIA agents by dropping and stabbing them, followed by Shaw's Curb-Stomp Battle against everyone else in the base.
With the chips down, Professor X stops the Cuban Missile Crisis single-handedly by causing one of the Russian naval officers to launch a ballistic missile on the Russian cargo ship carrying missiles to Cuba. As Moira says, "That was inspired, Charles." Damn straight it was.
The speech the Russian general gives about how he's already lived through one war and desperately hopes that they won't be forced into a new one. It just shows how some humans aren't all evil and that the Russians and Americans aren't so different.