I've had a number of twists and sessions go right in my day- a couple of my favorites, and the players favorite though had to have been on Dusk, Orbell Quill and Sinophia Magna.
Starting off with the first:
The game on Dusk had them being manipulated by eldars, sorcerers and daemons. By the time they reached the end, all hell had broken loose: Three acolytes were dead, the adept sorcerer was casting openly n order to survive, the others were crawling to the end location in the midst of chaos and madness. When they managed to slay the daemon, only to have a dream-like vision of "God-avatar" of Slaanesh show up to mate with it... then grant them a boon... they had no idea if they'd helped the eldar, the daemons, the Interrogator turned rogue- or if someone played them like a bunch of saps. They still talk about this session to this day- even though it was over a yea rago!
The two next moments happened on Orbell Quill- I was running "Blood Red Rains", and the coming of the Blood Thirster was just EPIC. Before that, the players fought a couple of Blood-letters, and due to the Chaos-number houserule, Tzeentch's influence turned one of the Blood God's daemons to WOOD [Saving the players!!]. The rain of gore and general chaos of the final confrontation was so epic and horrifying, that one of the players (Who had accepted the Slaaneshi's boon from the Dusk Session) burned a fate point to Summon up the Avatar and had it fight off the Blood Thirster as it entered the material universe.
Afterwards, still on Orbell Quill, the players were exploring an old Eldar Temple and found a set of 13 mirrors, two of them where missing [Taken to Sinophia Magna by Haarlock]. The Psyker rolls the perils that breaks all mirrors in an area, but the Eldars, having foreseen this, have prepared protective runes that reverse the damage onto him. Luckily for him, the Slaaneshi daemon sealed into the mirrors saves him, accelerating his Boon (he also accepted the Snake-god's boon on Dusk) and turning him into a fully-fledged serpent man with a mission: kill the Harlequin guardian of the mirror and take his soul-stone into the mirrors. Shoulda see the rest of the party's faces when the psyker walked into the glass and Daemonettes began to pour out
On Sinophia Magna, one of our biggest moments wasn't actually a fight, but complete words play. The players managed to catch me in a lie- a Rogue Trader had hired them to recover one of the mirror shards, a pendant, using some sort of excuse. The players, during a raid of the crypts, find a mirror shard pendant with the Slaught and bring it back to the rogue trader. But before they give it to her, they manage to find out that this pendant is part of a set of TWO, and the ones that they had recovered wasn't the rogue trader was asking for... but actually the one that she had, and was hired by the slaught themselves to recover the second one. It was very cool- managed to avoid getting screwed over there
I think, generally speaking, we've had other good games (and a few bad ones)- but luckily, I've got a very cool group that seems to be enjoying the ride- so far, the Pale Sepulcher game I've been running, is going VERY well and though it is filled with memorable moments, I believe that the most memorable thing about it is the (Arbitrator) Cyber-mastiff handler's Cyber-falcon. That thing is DESTROYING EVERYTHING, has saved the day on more than one occasion, and has survived a monster that One shot every other party member with a single hit [but managed to roll 1 & 2 when it hit the godamned bird :P]. Its owner has dubbed it "the red baron" and is going to start painting it red (likely with the blood of his enemies )