Alliance boat ride into the Howling Fjord was my personal favorite. Kind of lame though that the Horde didn't get anything nearly that cool. The Horde zeppelin into Borean Tundra I think was supposed to be similar, but it just isn't the same, and it's only interesting if the Nerubians start attacking the base shortly after you get there.
Burning Crusade's Dark Portal is probably the best overall, simply because it was the same for both sides.