Mine would be the part of Crota's End, right when you summon him and the doors close up. Everything is silent... then bam doors open and gunfire rings thru the halls from every direction.
In Kings Fall, summoning Oryx the first time ever, I had no I deal he was going to be that much bigger lol, huge shock value
In Vault of Glass, the hilarity of the jumping "puzzle" from those people who make it more complicated than it has to be
Also Vault is my favorite due to the sense of wonder the first few times running it