Each world has its own flair, but I've also found each has its own moment that I find pretty cool
Skull Island: entering the Presidio for the first time Just an all around fun experience where you meet up with an ally you didn't know you had and get a small bit of foreshadowing into Monquistion culture. Speaking of...
Monquista: finding the Monkey's Paw While the actual dungeon is pretty lame in my honest opinion(mostly being a "fight x amount of enemies, walk to the next area, repeat" dungeon rather than anything interesting) the interaction you have with the Paw's master is pretty funny and the ending of this section of Monquista is a predictable yet humorous ending.
Valencia: Fighting Kane I don't think I need to explain why.
Cool Ranch: Interacting with Death The entire story of how Captain Blood avoided death was a very funny yet convoluted way to setup the end of Cool Ranch and having to travel across Miranda(a literal ghost town) and fight your way to get all the cards is a very memorial part of Cool Ranch. Close second goes to getting the Magnificent 7 together.
Mooshu: Wrecking General Tso's party Instead of your usual charging in and attacking everything you see style of gameplay, the attack on Moomori Compound being more of a espionage fight rather than a raw strength one stuck with me. Bit of an odd choice I know, but it's also humorous to mess up every bit of the plans.
Marlyebone: The Kurgha's request Who would have thought getting food to taste as bad as possible could be so hard?
Aquila is the only world I haven't finished as of yet so I'll leave it out of here.
Skull Island - Xol Akmul, a lost city in the jungle inhabited by Dinosaurs (what could be better)? Monquista - meh Valencia 1 & 2 - meeting Captain Steed & helping the Guinea Pigs bust heads over trade Cool Ranch - The Duck of Death (& the best companions a buckler could get). MooShu - helping Subodai be a Khan Marleybone _ so many Dickens references and Old Scratches comment:"You want a proper hauntin'? Ask the dead." Aquila - helping Ulysses take back his throne.
Skull Island - The interaction the pirate has with the crystals in the Valley of the Gold Monkey. It's so unexpected with where the narrative is but adds this hook into the greater arc. It peaked my interest to see the pirate's backstory see some relevance to the main plot beyond determining who you meet in the Presidio.
Monquista - Literally, everything about Donkey Hotay. That fact that he was originally "Monkey Hotay", which misleads you to the pun they were going to make with the character, his extreme vigor for adventure(keeping close to the source material), the fact that you find him in La Mancha, and the almost defeated attitude of Pancho Stanza really sell the character for me.
Valencia - I love the idea of going through Avernus to get to Valencia. It makes the universe feel a bit more interconnected connected and gives you shivers when you see the enemies have purple names. Also, the sheer size of the armada stronghold in the center of the world really gives you an idea of what kind of foe you're facing throughout this adventure.
Cool Ranch - Finding out who's behind the mask of El Toro. And, really, just everything about El Toro both in terms of his character and how he plays mechanically.
Mooshu - The General Tso boss fight was a unique way of handling the known grid-based combat and made for an interesting fight trying to stay away from him so you could get General Tso's Chicken(also, the word play was greatly appreciated).
Marleybone - I'll be real, I don't remember Marleybone too well. I think this was the point when Catbeard joins up? He's cool. One of my favorite companions personality-wise.
Aquila - Honestly, the boat designs here were SO COOL and felt very unique from the previous worlds. Also, although it's not party of the main story(I don't think), I remember farming that one boss for the shadow knives cause they're some of the coolest looking stabby weapons in the game imo.
Skull Island. Lots of nice things there, but probably the original Presidio raid - very challenging, with a great companion reward at the end of it. They nerfed it a bit, so it is slightly less fun to me now (the challenge of avoiding the extraneous fights nicely upped the tension).
Monquista. Best part there for me is the running commentary from the monkeys concerning how unusually tall and and hairlessly ugly we are.
Cool Ranch. Generally my least favorite world. Cowboys just doesn't seem pirate-y to me, and originally it drug on forever (introduction of the stage coach helped with that problem tremendously, thought. Favorite part though has to be the Haunted Skyway in general (it has a very spooky feel to the art) and Miranda in particular (I still think Captain Blood's coat is the nicest-looking outfit in the game).
Marleybone: Catbeard's trial.
Mooshoo: the General Tso's Chicken fight. I think the game would benefit from more special fights were they play with objectives this way.
Aquila: at the moment, nothing special is coming to mind. It was a good realm... I am just not thinking of anything that especially stood out to me.