Oh, my gosh, so many!
(SPOILER)
The whole scene before they rush to fight Yunalesca, very moving.
When you go to the temples and talk to the fayth again, and at the end of the game, if you look at their descriptions, they say things like "Don't cry." and I just wanted to cry, it was all so sad. Especially when Tidus says, "I'm saying Goodbye. I don't mean to be selfish...but this is MY story!"

I love the part where Tidus mispronounces Macalania as Macarena, and replies with "Aye?!" when Wakka corrects him XD