i've only just done the tank chase, that was pretty awesome, and the train was pretty awesome too, the rooftop helicopter battle wasn't that great though to be honest.
i did love the collapsing building, but i think my favourite set piece, if it counts, is the whole mountaineering level, with the ice caves, leading up to and including the hidden temple. it wasn't particularly action packed but when i say the action that there was was awesome, i'm sure you'll know what i mean, and the ice caves were just freaking beautiful.