If we can count a puzzle as the final boss, then the last puzzle in 999: 9 Hours, 9 Persons, 9 Doors. I was bawling while I was solving it, and it was the first time I cried while playing a video game. If you played it, you probably know why.
If it has to be an actual enemy... I don't think I have a definitive favorite, but I liked Quadraxis from Metroid Prime 2, Goht from Zelda: Majora's Mask, and Jubileus from Bayonetta among a number of others.
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