If we also include "boss" battles, that is, a final battle without necessarily a boss-like enemy present, then without a doubt:
Hitman Blood Money :
Final Fight (spoiler warning - best experienced when you don't know it's coming)
Xenonauts :
made a big post about the incredible final battle Warcraft 3: Battle for Mount Hyjal is always a treat, if a tense one to round up an incredible rts campaign.
As for more traditional boss battles
Broforce has several that are a lot of fun, especially the last one against the devil
The Lost Vikings has a great final boss, where you need to send each of your 3 vikings along their own difficult routes to get to positions from where they can take out the boss together.
Darkwood has a final boss that is incredible to face for the first time, though it's a bit of a hidden ending. It's one game in which it really pays to pay close attention to your environment.
Tiberian Sun : Firestorm the final level, at least as GDI has an actual final boss. An AI that activates and takes command of a massive mech.
Batman Arkham City's Mr Freeze boss battle is incredible
Commander Keen 1 is I think the first boss I ever fought, and he left a lasting impression. Not much of a fight really. You just shoot a chain holding a big block in place above his, office?