I only recently noticed that in the second Sigma stage of Megaman X, each subsequent window shows the sky as a slightly different color, going from really early morning to dawn. Then when you go outside to fight Storm Eagle near the end of the stage, it's daytime. I thought that was really cool.
Also the X-ray visor in Metroid Prime showing that Samus switches beams by changing the orientation of her fingers. It's extra cool because it makes those hand shaped symbols that represented them up until that point suddenly make sense.