Digital Devil Saga 2, the fact of where it takes place is enough. (SPOILER)The Sun

And Mass Effect 2, seeing No One Left Behind at the end is so worth it.

And Grand Theft Auto 3. You start the final mission unarmed and have to chase a helicopter through the streets that leads you to the top of gang infested dam. You have to fight your way through them and then take the helicopter out with whatever you can find. Unless you make a side trip to your base, but that takes all the fun outta the level.