The last time I can remember yelling with joy in a game was after beating Super Meat Boy. That was tough.
EDIT: Actually, more recently than that was a rather hilarious moment in Red Dead Redemption. I was playing the mission "An Appointed Time" and I was at the very end, chasing the armoured stagecoach with Allende and Williamson in it. I had killed the guards on horses, and I decided to disable the stagecoach in style. I pulled out my dynamite, went into dead eye, and selected the coach. The dynamite flew from my hand like a guided missile, turning in midair to track the coach. When it hit, all the people on the outside went flying, and the stagecoach itself jumped about 3 feet in the air.
EDIT: Actually, more recently than that was a rather hilarious moment in Red Dead Redemption. I was playing the mission "An Appointed Time" and I was at the very end, chasing the armoured stagecoach with Allende and Williamson in it. I had killed the guards on horses, and I decided to disable the stagecoach in style. I pulled out my dynamite, went into dead eye, and selected the coach. The dynamite flew from my hand like a guided missile, turning in midair to track the coach. When it hit, all the people on the outside went flying, and the stagecoach itself jumped about 3 feet in the air.