i) A Tale of Two Cities: The Plane crash from others point of view.
During Season 1 and Season 2 the directors had carefully built an image of “The Others” in our minds, as a group of cruel and uncivilized people living like barbarians. During the very first few minutes of season 3 all our pre-conceived notions about “The Others” were shattered. This is exactly why I like LOST so much - the unexpected twists and turns. The first few minutes of “A Tale of Two Cities”, was a classic LOST moment, which really ruined all the theories and beliefs.

ii) Further Instructions: Dude.
This, one- word dialogue was the funniest dialogue of the season for me. This was also my favourite episode of the season. Locke centric episodes are always great. However, this time around two lesser characters - Charley and Hurley stole the show. This was a truly gem of a moment.

iii) Every Man for Himself: Gaining a con man’s respect
One of the major revelations of the season - there is not one but two islands; was delivered in style by Ben.
Here is the transcript:

Ben: You ever been to Alcatraz? Right now you’re standing on a small island, roughly twice the size of Alcatraz.
And that over there, that’s your island: the one you’ve come to know and love. I just wanted you to know, there’s nowhere to run.
Sawyer: You did all this just to … just to keep me in a damn cage?
Ben: We did all this because the only way to gain a con man’s respect is to con him. You’re pretty good, “Sawyer�; we’re a lot better.

iv) The Cost of Living: You speak to me as if I were your brother
This is the scene just before Eko is killed by the Smoke Monster. I never really liked Eko a lot. However, one can not help but sympathetic towards him. It is as if, he was chosen by destiny to be the bad guy but he thwarted destiny and at the end died as a good person.However, I am putting this in my list of special moments because of the last dialogue spoken by Yemi’s apparition - “You speak to me as if I were your brother”.
Now, wtf is that supposed to mean?

v) I Do: Kate and Sawyer romance
It finally happened The directors had given us plenty of hints about this in Season 2 itself. Although love triangles are fun to watch, I hope Kate has firmly made up her mind, and doesn�t change her mind again.

vi) I Do: Jack’s plan
I was truly delighted to see that Jack didn�t fall for Ben’s cheap trap. Ben might have managed to con Sawyer, but Jack certainly got the better out of him. It was also a reflection of Jack’s character. I believe that he did it for Kate: to save her and her love, thus putting himself at great risk. However, getting out of this situation would be tricky for all of them. It is highly unlikely that Kate and Sawyer managing to swim across the ocean. So they will need to find other ways (like getting a raft/boat or may be a secret undersea tunnel ).
Also, if everyone manages to escape successfully, that won�t do the show any good. To keep the show moving forward, there must be a connection between the Others and the Losties; which would be tough to establish if the Losties escape to their own island.

Alas, we will have to wait for 3 months before getting any answers.
The second instalment of season 3 looks really promising. Here is an excerpt from Damon Lindelof and Carlton Cuse’s interview (Source)

Lindelof revealed: �There are two bombs being dropped, one of which is a character bomb, and that will happen within the first three episodes after the break. And the other is a more significant story bomb, a game-changer, as it were, and that will happen shortly after.�
The theme hinted at in the season two cliffhanger will also return to �dominate� for the rest of the season. �We broke perspective off the island for the first time � at least that�s what we�re leading everybody to believe � and, certainly, that ball is in motion and rolling down the hill at a very fast rate,� added Lindelof. �It takes a couple of episodes to get up to speed, but the fact that the island may have been seen is pretty much the entire story arc of the second half of the year.�
Other plot points to be resolved before season three is out include what happened when the hatch exploded, how Jack got his tattoos and why Locke was in the wheelchair.

And yes, please do share your favourite Lost moments from this season.