What about when everything is revealed about the domes, etc. when you talk to the sages in New Mota? That was a huge "ohhhhhh, now I get it" moment for me. Hooray for the early 1990s and no internet to spoil the surprise. It actually renewed my confidence in the game. At that point I had abandoned the idea that PSIII was connected to the other games and thought it had gone the way of Final Fantasy.
I also like the crash landing on Dezolis in PSIV.
The Gaila scene in PSII was exciting, though losing Palm was extremely devastating.