The intro cutscene does a good job of showing you the kind of game you're about to dive into.
Every time you use a Princess Buster on a boss. Take that, you giant sled!
That moment when you reflect the third boss' Wave Motion Gun at him, especially for the first time. Giant lasers? Not a problem for this Princess!
The whole battle against Mecha Santa on high difficulty levels. He has 15 attacks, of which most are really cool. He is also a Large Ham who calls out the names of his attacks in a really awesome voice. Bonus points if you get to summon the Goddess of Explosions against him and see his total Oh, Crap! expression.