Since this is a good thread so far, and since my aforementioned moments have a special place in my heart, I'm going to go into more detail.
Secretariat's 31-length victory in the Belmont Stakes
Everyone knew he was going to win this thing, but no one could have predicted the mockery he was about to make of the field. By the end of the race he was over 1/16 of a mile ahead of the rest of the horses and he set a distance record - 1 1/2 miles in 2:24 flat - that no horse has yet to come even close to. Later analysis showed that he was accelerating the entire time, running each section of the race faster than the last. What really tops this off is the fact that it was Secretariat's third race in a month (most modern thoroughbreds race about once a month) and that the 1 1/2 mile long Belmont Stakes is one of the longest and most grueling races in American flat racing.
A true legend and one of the greatest athletes of all time, regardless of species.
(Video set to the Rudy soundtrack for optimum goosebumps)
Zenyatta's insane comeback in the Breeders' Cup Classic
People already knew Zenyatta was good when she went into the Classic, which is essentially the Super Bowl of American horse racing. The question was how good - although undefeated, she had never raced against horses of this caliber, nor had she raced against male horses before (most male thoroughbreds are faster and stronger than female ones so they typically race separately.) Zenyatta's response was to feint the first two thirds of the race, idling in a leisurely last place, before stomping all the boys into the dust in the last few moments. It was an insane move by any standard but doing it against an all-star field was truly incredible.
She almost repeated in the next year's Classic but ultimately lost by a nose. That was her only career loss - she won 19 of 20 starts and easily earned the nickname she still holds, "The Queen of Racing".