Oh boy I got a couple of those, in no particular order...
º First time seeing DOOM in motion.
º Stepping out of the sewers for the first time in Oblivion.
º First time seeing Star Fox (intro, mostly) on the SNES.
º First time revelation and approach of the Citadel in Mass Effect.
º The "Normandy Reborn" scene in Mass Effect 2 (the music played a vital role).
º The arrival of the allied fleet popping out of the Charon Relay in Mass Effect 3.
º The entire Battle of Ostagar scene in Dragon Age Origins.
º The first few minutes of game-play in Bioshock (original), from the intro (plane crash) to the moment you first get to the terminus (after the crash) and make your way down the ocean toward and finally get to step in Rapture.
And a special one that is still anchored in my mind as if it was yesterday, truly marking for me...
Your (well, my) first real, tangible physical approach of the Half-Life 2's Citadel at the start of "Our Benefactors". As you manage to puzzle your way within and between the crushers before finally getting to see it so close, while jumping your way on the crater's ledge towards it. I could feel some sense of dread I've rarely experienced in games even when I am very immersed (and usually I easily am). It's partly because during the entire game up to that point I always found the Citadel to be rather menacing just by its very presence even from a distance, and its very size alone was just mind blogging. But you also know that obviously there's "stuff in there that wouldn't like you anywhere close".
There's something about it that spews "this thing is so alien and I really don't belong here", when you finally get inside it. It's also in part due to the cold, almost ominous blue steel and general strange yet still very simple and "organic" architecture surrounding you everywhere you look. You ascend a ramp, you make your way in silent-yet-intimidating alleys and somehow even though you're "alone" (until some point) you'd feel that "this thing... this tower knows I'm here, I just feel it" which is what was constantly playing at the back on my mind while playing, it was awesome, superb atmosphere.
It'd probably be more simple if I just said that the Citadel in general was in and of itself one of the greatest "imagery" moment in video gaming history, for me. From afar when I first looked at it, seeing that "unfinished" allure it had, almost reminiscent of the Death Star in Return of the Jedi, with those giant hanging cables from mid point to its base, and its "rib" like structures revealed when the plating layers start moving (at which point you almost feel the thing is alive, truly spectacular). And when you see what looks like hundreds of drones suddenly "bleeding out" of it, accompanied by its "scream" (the siren) signaling and confirming its definitive malevolence toward you and the "Rebels" of the city. Indeed, one heck of a well crafted and artistically-presented place in gaming.
So anyway, this type of thread would force me into a sleepless night and I'd type a novel or two for describing hundreds more. For now I'll leave my take on this as is, but I might edit my post at some point to add a few others.