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 - 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.