[SPOILERS AHEAD] (it's not like there's much to spoil, but I like to think that's something people should experience by themself playing the game)
As you can tell from my avatar, Majora's Mask is a game I really like, possibly one of my favourite games of all time. This is not just due to the game itself and its top-notch atmosphere, gameplay and soundtrack, but also to the way it influences the player on an emotional level. You feel dragged into the game, you start to genuinely care about every single side character, and you'll slowly realize the Moon is not the thing that is really oppressing you: time is. You can't save everyone, and that's something you have to accept. By the time you get to the end of the game, in other timelines, Termina and all of its citizens have probably died tens of times.
On the last day, the day you can finally really save everyone, you'll rush through it. Play the Song of Double Time, probably, and get right to business. You'll want to make time flow faster, ironically.
And then, you get to the Moon. That's probably the level that finally made me realize how truly wonderful this game is.
Peaceful. Green. Playful. Just a tree in the middle of it. It's so anticlimatic you'll feel confused.
You get to know the Skull Kid better. You'll feel sorry for the character you have probably hated during the entire game. You will feel exactly what the game wants you to. It has your heart and mind in its hands, and the Moon is what makes you realize that.
That's why the game's finale is, to me, the best moment in the entire game, and IMHO one of the best moments in gaming's history. It represents the apex of the player's immersion in the game, a catharsis of sorts, the calm after (and right before, as well) the storm.