The Pierce point was the best shot I've ever seen. Most media rave over the between-the-legs or over-the-shoulder shots (especially if Agassi does them), but they only win points if the opponent is sleeping and fails to come in to net for the easy putaway. In the Pierce point, Monica was in position at the net, but Mary hit an incredible between-the-legs lob winner over Monica.
Some others that spring to mind:
Arantxa's 1st round match at Wimbledon (1990?), when she was down match point, and hit a drop shot winner from the baseline. Guts of a burglar.
Venus's 1997 US Open semi against Irina, when Venus saved a match point with a spectacular backhand winner up the line.
The first point of the 1995 US Open final. Steffi and Monica hit the ground running.