A few that come to mind...

1.) I defeated the Shin Megami Tensei: Nocturne boss (the real last boss) and Dragon Quest IV final boss each on the last possible hit. In both cases one more round would've killed my entire party and ended the game. The SMT Nocturne boss battle had been going on for 2 hours...it would've been devastating to die after all that. Thankfully I didn't.

2.) Getting the "If They Came to Hear Me Beg" achievement in Halo Reach after 500+ attempts. Some people get it after 1 or 2 tries. Seriously.

3.) Killing the Emerald and Ruby Weapons. Especially considering getting the KOTR materia is just part of killing these guys.