Definitely the part when where you reach Zanarkand Ruins until after Yunalesca's disposal,

The soundtrack there is superb, so is atmosphere. The first time you actually realize that camp you stop in is where the game intro is set to, it's the place where the game changes from being told by Tidus to you actually going through the rest of their stories with them. The build up for the last part of the game there is intense. Easily my most favourite part of this game.