Ok, the topic makes it clear. I'm going to post them in numerical order just to get them organized. Feel free to comment your own opinion.

1. Demogorgon, tower expansion - ToB expansion, Baldur's Gate 2.
(I know there are some madskilled people out there who have killed him without problems, it took me HOURS though. Not many game offer fights like this.)

2. The last battle, X-COM Ufo defence.
(This old battle has so much action and variation going on, I remember loosing some of my men while the others triumphed).

3. The looong bridge, Dragon Age - Origins.
(I just love it when you are fighting low lever monsters and they still almost kill you since they are so many).

4. Derelict reaper, Mass effect 2.
(Same as above, fighting a lot of low lever monsters can get messy. I remember that I went out of bullets at one point.)

5. Yog fighting the nagas (and later the titans), Heroes of might and magic 3 - Armageddons blade.
(I thought my hero was totally invincible and then came these fights that seemed totally ridiculous at first.)

6. Random caravan fights - preferably with many different enemy gangs, - Fallout 1 OR 2.
(It can become totally wicked when different gangs shoot at eachother and then there you are in the middle, killing and looting as you please.)