I'm gonna get killed for this, but I really liked the ending for Thief: Deadly Shadows. Maybe it was just because I was on an adrenaline high after sitting white knuckled through the game, but I liked the way it brought everything back. Also Garret's sardonic smirk, drawl and the music all seem to just flow together.
Next, Wing Commander 3. It just seemed great that they brought the series to a good close with peace being declared. After all, I'd been blasting Kilrathi out of space since WC 1 and all iterations in between and it truly felt like I'd been part of this huge interstellar war. Also, I steadfastly refused the entire romance subplot. C'mon, I'm the best damn pilot in the galaxy, I ain't got time for no relationship.
Finally, Mass Effect, simply because it's the only game ending where I went "OMIGOD NOOOO! I'M DEAD!" despite knowing that there would be a sequel and that The Shepard was going to survive. Then when he finally jumps out from the rubble and the soundtrack gets EPIC I was literally going "HELLS YEAH B*TCHES!". Now THAT'S immersion.