The ending. You've killed the evil Queen and the castle has fallen... but Yorda's been turned into a smoke creature and can't come with you. Then "You Were There" starts playing as Ico dreams about all he and Yorda went through together... Turns into tears of joy when you find out she's okay, of course.
The backstory is pretty depressing as well. Those poor horned children...
After you open the gate and you're slowly walking out because Yorda is injured... it could all be over but you all know it's too good to be true... but still... the bridge opens up underneath you and you're on opposite sides of the gap and you run and jump. Yorda grabs onto your hand (a reverse position of the one you've been in so many times) and slowly a black shadow creeps up onto them. The shadow climbs up Yorda, once it reaches her hand she's forced to let go and as Ico falls you see the Queen rise behind Yorda... for a moment it seems all for nothing.It Gets Better of course but that scene always gives this troper shivers.