Many wow moments but a few:
First time I went into combat with Marcurio as a follower. Before I could get close enough to the bandit to attack with my axe, Marcurio blasted him with a shock spell and sent his corpse flying. I was like "Alright, dude. You can stay." Still my favorite follower, although I sometimes need that Detect Dead spell to find and loot corpses he's sent flying.
When I figured out how to use a bow properly with my Xbox controller. Took me two characters. Now I love it whenever I get in a good shot.
Bard's Leap. That was fun, although I died in the first attempt.
Pretty much each time I entered a new city or hamlet for the first time. I still love that music that plays when you enter a small hamlet for the first time for that character. Makes starting a new character fun. Wish it would play at other times. Very enchanting music.
Silly, but when I realize you could use weapons while on horseback. For some reason, this didn't work with my first character so I assumed it was how the game was. So when I accidentally discovered with a later character that I was wrong, I rode all over the plains of Whiterun, shooting deer and anything else from horseback.
Building my first Hearthfire house. And then walking out of my newly built house to find a dragon and a giant duking it out behind the stables.
Being carried up above Skyrim in the Merida deadric quest.
Those special quest locations like Japhet's Folly or the grove you go to for The Cursed Tribe quest. Blackreach is OK but I wish they wouldn't play that annoying "dungeon" background music the whole time you're there. Makes it kind of monotonous.
First time I found Deadric armor, well before I had the Deadric armor perk. In Dead Man's Respite. Unfortunately didn't get to keep it because of a glitch that wouldn't let me finish the quest. It was such a bummer that I just restarted with a new character (tip: do the Bard's College quest early on. I triggered the glitch by trying to go through Dead Man's Respite before doing the Bard's College quest, having gotten a letter about investigating the source of power there). Haven't found any Deadric armor since, just a helmet, a shield, boots, occasional weapons.
THE STORM CALL SHOUT. OMFG. SO AWESOME.
And anytime I find something I hadn't before, despite being on my 5th character.