FellowShip of the Ring - Gandalf's battle with the Balrog. Way cool!
Two Towers - any scene with TreeBeard and I loved the Warg attack. I also loved the Battle at Helm's Deep.
Return of the King - the scene where Gandalf the White confronts Sarumon for the last time and Sarumon gets impailed - gross! I also love the scene with the Mouth of Sauron (makes me quesy and laugh at the same time - kinda hard to explain
)