I think my favorite moment is when Sora plunges the Keyblade into himself and turns into a Heartless. Yeah, I knew it wouldn't last 'cause he's the hero of the game and all, but I still found that scene very effective and moving. It takes a lot of bravery to do such an act and to trust that it would work out alright.
Also, it helps that this takes place in Hollow Bastion, which is my favorite world from KH1. :D