Oh god, how can you pick one moment out of like 300 hours of gameplay...
Umm let's see... *SPOILERS*
One of my favourite missions was the "Who dun it? from the Dark Brotherhood, it was just too fun.
One of the saddest was finding the ruined remains of the Mages Guild in Bruma (kind of pissed I didn't buy all the rare spells beforehand...)
Most shocking was finding out about the drug-induced slaughtering of an entire village in that Fighter's Guild quest.
Most badass moment was when I was chasing Falcar or whoever the Mages Guild defect was, he was about to run away which would have lead me on this huge chase but I just fired off this overly strong shock blast and it hit him square in the back from quite a distance, slumped him dead on the stairs.
Oh there's too many more, and way more to come in Skyrim!