For me, the best feeling usually comes from getting through a difficult game. I remmeber being really excited the first time I beat Castlevania and Ninja Gaiden on the NES, but that was "back in the day."
More recently, I had that feeling when I beat God Hand. That game can be pretty tough, but it's so much fun, and the gameplay is very rewarding. There were several times when I thought I wouldn't be able to make it any further, but I just kept trying. It was a great feeling when I finally made it to the end and looked back on all the tough battles I had endured to get to that point.