My favorite scene was when the party and Cloud were fighting Bahamut Tremor. The action, the music and the visuals were all superb, and I loved it when
Spoiler: the party helped Cloud up into the sky and Aeris helped him push through Peta Flare to finish off the Summon.
The coolest scene is probably the fight between Tifa and Loz. I like their overblown attacks that totally defy the laws of physics.
Oh yeah, and the Victory Fanfare ring tone.
The battle between Cloud and Kadaj would have been great, but it was cut very short since most of the battle has the airship showing and the other characters talking.