The music being played when fighting Jeanne for the second time, an awesome, fast song with some killer piano and a cooing breathy girls' chorus in the background.
Blood and Darkness during the final battle with Jeanne is even more awesome.
Climatic Battle is incredibly memorable as well, if for no other reason than it's the song that plays right as you're about to literally take apocalyptic horrors calling themselves angels apart in the most gruesome-cum-awesome method physically possible.
One Of A Kind. Hearing the slow Ominous Latin Chanting, followed by the violin riff while the camera zooms away from Bayonetta and Jeanne, all while they are falling off an absurdly high cliff and hordes of Angels come flying towards you, really sets the tone for the rest of the game.