My first choice is not a single scene but a sequence of scenses - the Hobbiton scenes in Fellowship. The general feeling of them is beautiful. The sets, the score, everything makes it such a happy, joyful 25mins before things start to get a bit more tense as Gandalf starts to wonder about the ring. I love the scene where Bilbo drops it before leaving, then Gandalf goes to pick it up and briefly sees the eye.
My second was the only time I have been pinned to the back of my seat at the cinema and don't remember breathing even for twenty minutes. It's the opening scene of Saving Private Ryan. Brutal.
Finally, the bank job scene and ensuing gun battle in downtown LA in Heat. The sound of the gunshots echoing through LA streets is increadible.