I think just saying Majin Vegeta is good enough, but here's one of my favorite scenes:
https://www.youtube.com/watch?v=ZDCEL4QDOGw
I don't go back to clips of anything other than Buu Saga stuff, and it's mainly for Majin Vegeta or any Buu Saga Vegeta stuff. That's when he went from my fifth favorite character to almost my favorite in Dragon Ball Z. Although, after watching the original Dragon Ball, Goku is my all time favorite character, so he can't win on that end. From the pride speech, basically "selling his soul", admittance of his love for his family, the Final Atonement sacrifice, allowing himself to be pummeled to near death by Kid Buu in order to buy Goku time, coming up with the idea for Earth's people to save themselves. He represents my favorite stuff throughout the series. Learning to be selfless, accepting one's limitations, getting over pride, pushing yourself to your absolute limit, never backing down even if it's futile, etc.
Majin Vegeta!