So far, my favourite fight would probably be the Iron Golem fight, if only because I loved the Tower Knight fight to death back in DS and it has a pretty similiar feel to it.
My most epic moment so far would be fighting all of the Forest Covenant NPCs at the same time and /somehow/ surviving long enough to take them all out.
One of the parts where I definitely went WTF was when I first saw that Hydra in the lake, that was a REALLY fun fight.
As for facepalm moments, I had a problem with not knowing where to go after the Gargoyle boss (I asked about it here), the answer was pretty much staring me in the face, and I finally saw it after about 3 hours of searching.