Siding with Caridin, definitely. I love that one. I've had characters who side with Branka instead, of course, but I didn't like that nearly as much, although it worked much better for those characters. Having Shale along makes it even better.
Actually, I'm quite fond of the Deep Roads in general, especially from the point you witness the horde on.
Breaking the werewolf curse is another good one, and I like Uldred's speech in the end of the Circle Tower as well (though that's partially because I find some aspects of it funny, in a good way). I also enjoy the whole Fade segment.
The appearances in the Gauntlet are also usually good, although for me, that depends a lot on how important they were to my character. It has the intended impact with some, but not with all of them. I also like the entrance to Haven and wandering about in it; it has good atmosphere.
Finally returning to the Alienage as a City Elf is good, too.
I also liked how ominous things felt before the march to Denerim the first time, and the surprise of the whole dark ritual. The very end of the game also felt appropriately triumphant.
For whatever reason, Redcliffe is the one area that I don't have any particular fondness for. It's not bad, but nothing about it really stands out to me, unless you count the Sacred Ashes quest as being part of it (and I don't usually think of it that way, since I usually do that as the last thing and often end up doing Redcliffe as the first).