Mami's first battle scene in episode 1. With the familiars closing in and Madoka and Sayaka trapped, a burst of light appears and Mami transforms for the first time... Her theme starts playing as she raises into the air and summons dozens if not hundreds of floating magic muskets, all with a gentle smile on her face. Even with knowledge of everything that happens afterward, this scene never fails to be awe-inspiring.
Mami's fight against Gertrud in episode 2 is pretty cool too, especially when she whips out Tiro Finale.
The fact that Madoka never lost hope for a happy ending. Even when the audience already had (Gen Urobuchi isn't known for his happy endings).
Major props to the animators at the end of episode 8. Even if you already knew magical girls became witches, the pure impact drawn when you see Sayaka's Soul Gem explode into a Grief Seed and the world reformat before your very eyes is still massive. Would anyone have imagined that becoming a witch would look like that?
After watching Madoka putter around and cry for nine episodes, the tenth treats us to the Madoka of the first alternate timeline, who makes a stand alone against Walpurgis despite Homura's pleading for the two to flee together. She apparently succeeds offscreen, only to be shown having died in the fight.
Yeah, you know how it says above that Homura Took a Level In Badass? Well, her fight against Walpurgis Night in Episode 11 epitomized this, with her shooting it with a few hundred rocket launchers, hitting it with a semi truck (which, naturally, exploded), and summoning a battleship to catch her fall into the ocean and blast away at the witch. In short, Homura stole the entire fucking military. And landmines. Lots and lots of landmines.
Heck, the entire episode 12 was a crowning moment of awesome for Madoka.
The way the showrunners used the opening song, Connect, qualifies. It is a normal bouncy magical girl opening, which seems to become Soundtrack Dissonance as the series gets darker. In episode 10, the viewer gets the impression that Homura is singing it, which makes it a huge tearjerker, since it emphasizes her despair. Then this gets turned on its head in episode 12, when it seems as if Madoka and/or Homura is singing it as an affirmation that they will never give up, and the new universe will never fall into despair (Madoka), and/or the people of that universe will be protected (Homura.) And the lyrics make sense no matter which way you're looking at them.
Madoka: I...*takes a deep breath* I want to erase every witch. Every witch from every world, from the past and the future. With my own hands.
Kyubey: That wish..If your wish is fulfilled, it'll surpass even space-time interference! It violates the law of causality itself! Do you really want to become a god?
Madoka: I don't care what I become. I don't want to let all those girls cry. All those Magical Girls that believed in their hope and fought against witches. I want them to live on with smiles on their faces. I will destroy the rules that prevent that. I will change them. This is my prayer. This is my wish. Fulfill it, Incubator!
This is the first time we hear Madoka speak with complete authority, no hesitation whatsoever. She KNOWS what she's doing and she KNOWS Kyubey has no choice but to help.