Hmm, I've had several that gave me warm DM fuzzies and let me know my players were really into the game:
1. I got snuffles and tears out of 3 of my 5 players when an NPC druid they had become very attached to died due to a mistake on their parts. They even held a funeral for him and each of them said a eulogy- I was pretty amazed.
2. I have scared the snot out of my players many times with atmoshpere, description, keeping the room dark lit only by candles. The most memorable was about 6 years ago the group was exploring the wreckage of a city fire, and they were in an old orphanage. In the basement below the orphanage, the party bard (who was played by a girl with a strong maternal instinct) was poking around alone when she heard the voices of children faintly. Following the sounds, she went into a chamber where some of the kids had tried to squeeze through a grate in the floor to escape the fire, but the roof partially caved in on them. Her lantern went out, and the voices were all around her. She heard from the darkness "I'm so cold and lonely. Please miss, can you make us warm?" She willingly allowed each of the ghostly children to touch her at once, draining 1 point of Con each (about 9 points total). The party found her later collapsed on the rubble, and she recovered with time. The group was creeped out, and even the guy who usually tries to remain the "iceman" demanded we turn the lights on for a while. After we got done gaming that night she crashed out on my parent's sofa, and she woke up in the middle of the night having nightmares about it. Since then, the ghostly children have followed their "mommy", and try to help in small ways. She sings to them, plays her instruments for them, and tells them stories. They are very protective of her though, and resent other NPCs or PCs treating her badly, sometimes taking very childish and violent responses. I've given several players nightmares a couple times in my campaign, but thats been the most memorable and creepy event (by their reckoning) so far.
3. The paladin willingly gave up his paladinship due to some evil actions to save the lives of a number of people indirectly, and to keep the souls of some innocents from being corrupted. This was the "iceman" player. He went on a dark path for a while, but eventually regained his former status, and the player told me that was the most "kickass" thing he had ever done in gaming.
4. Of course, hearing "That was a kickass game", "I can't believe we made it through that", "I can't believe we figured that out", or "that was awesome- can't wait for next time" is nice too. I used to hear that once every couple weeks, but now that we only play once every month and a half or so that kind of reinforcement isn't as common anymore.