My first encounter with an anomaly in STALKER. Every blowout I ever experienced. The first Controller. Honestly? A lot. Continually.
But then there's Thief. Thief was amazing. I was playing the Bonehoard, and trying really hard not to die. But these zombies, man... so hard. Finally, I found out how to kill them: there is a room where some zombies are sleeping. Climb up above it. Kill one with a holy water arrow--it'll make a sound. If zombies hear zombies, they'll come running. Eventually, ALL THE ZOMBIES IN THE LEVEL will pack into the room, and you can just start killing them, using the holy water arrows and their splash damage to kill them all, taking out multiple zombies with a single arrow. I exploited a HUGE number of that game's systems to do something the designers probably hadn't anticipated. I felt great.
Another time in Thief, actually earlier, I got spotted by a guy. He chased me. Being clever, I jumped into the water, thinking he couldn't follow me. He did. Jumped into the water, ran along the river bed, swinging his hammer, shouting how he would kill me. I freaked out and swam as fast as I could, trying to get away. Eventually, he drowned.
That the game allowed for both of these things blew my mind.
Condemned has this bit where a guy jumps out of an air vent, pulls a pipe from the wall, and when he does, the lights go out. That was fantastic; even better when I learned that I could do it too.