Rez (PS2) Last stage > Its bizarre and stunning history of the evolution of man. Stand out stage is a game where every stange is fantastic.
R-Type > Stages 1-3 are incredible. (I'm cheating I know) From the lead up music as the R9 hurtles into the stage to the gradual shift to the enemies mechanized stronghold, Stage 2 takes a drastic departure to an HR Geiger inspired nightmare and stage 3 where the stage is the boss was amazing.
Radiant Silvergun > Forget stage numbers but the stage where everything turns to a wireframe is awesome, also love the stage where its night time and you're flying over the city.
Einhander > The first stage is very cool, setting, music, boss, all of it is awesome.
I could probably list 20 or 30 more easily, let me know if you need
