Portal 2: The whole last level is simply fantastic, as made obvious by it's title "The Part Where He Kills you". Wheatley "learns" from the mistakes that GLaDOS made in the final boss fight in Portal 1, and his final fight bears some similarity while also being very unique in it's own right. My favorite line being "Holmes vs. Moriarty. Aristotle vs. MASHY SPIKE PLATE!".
Bioshock 2: Elanor joining you in combat is awesome, she's as powerful as a Big Daddy, and can't be killed (only de-summoned), so the last few fights are against a huge army of splicers, quite fun. Watching your harvest or save choice impact and change what Elanor chooses to do is neat. And the ending is beautiful.
+ Minerva's Den DLC ending level. Minverva's Den has it's own completely separate and unique story about a thinking steampunk computer in rapture. After the enjoyable boss fight, the last of the level is heart-tugging trek through the the protagonist's old pictures and memories.
Bastion: This is largely self-explanatory I think. Poor Zulf. The music and narration provide for an extremely moving ending.