The coolest thing I have seen is a bait ball. Tens of thousands of bait fish being attacked by a who's who of predators: dolphins, a few species of sharks, yellowfin tuna, and diving birds. That trumps everything else I have ever scene, probably.
The marlin was pretty cool though. You don't see a marlin very often.
Schooling hammerheads, whale sharks, a tiger shark...in fact, just about every non-nurse shark is a bit of a thrill. I saw a few blacktips last week in Tulamben, where you might not expect them.
As Doc mentioned, cool behaviors include any sort of hunting (not abetted by our lights), commensalism (including the common shrimp + goby, the clownfish + anemone, the cleaning station, etc.). I have seen the jawfish incubating eggs...and got a pretty good photo of it (searching for it now). That took patience. I saw an octopus hunting once. He enveloped a whole coral head and proceeded to rifle through its nooks and crannies for food, and then moved on to the next one.
Things I haven't yet seen that I would really like to:
I have over twenty visits to Bali and have yet to see a mola mola. I'm going to have to get more proactive on that one.
Sea lions, otters, seals. When I move back to the States I'm going on a long West Coast safari, or, more likely, a Galapagos trip. With that in mind, a marine iguana.
Orcas. There's an operation in Norway, I think, that does orca dives during the herring migration. I'd have to learn to dive a drysuit...and learn to want to.
Edit: Not my best work, but it is a challenging subject:
This surface shot of the bait ball only hints at the havoc below the surface:
A barracuda with half of the fish it just sliced in two:
Amazingly, a grouper snatched that from the mouth of the barracuda a fraction of a second after the shot.