I guess I'm wired differently than many of you because most of my fond memories are about my character taking hard hits:
A fun PC interrogating, beating down and leaving my character on the street to later be found by another PC that helped him out for a price.
My character being discovered dipping by another PC who was scary strong and manhandled my character and forced them into their service via fear.
My character wandering to a relatively out of the way place, seeking shelter from some strange people who then fed him to their pets which resulted in my character's death.
My PC trying to help half a dozen other characters defeat a raging beast on a busy mix street only to die along the way but fortunately be saved by a Doc and a mystery man who demanded payment for having saved my character.
My character running off stupidly to rescue a friend of theirs only to end up sharing their fate and starting a long lasting, though sadly never resolved feud.
Another character pissing someone powerful off then being taken down in record time while chatting with a friend in the bar, his blood splattering everywhere.
A famous NPC solo taking the eye from one of my characters because my character was impossibly laying the hurt on them earlier.
My character failing in a mission to retrieve an object because another team did it so much better and the, "Damn. That was so slick how they did that!" moment.
And on the flip side:
My character killing a long standing rival in an unexpected fight when they really should have been destroyed in that fight.
Another character finally making in in with a faction I had always wanted to be a part of from an OOC angle but had never managed to make happen with other characters because of IC circumstances.
The first time I ever managed to get chrome. It seems small but having the flash to do it and actually understanding the system well enough to get it done was a huge deal for me. And it was cyberware!!!