Well, I gotta say I am sucker for football/soccer and I'm a huge fan of Zidane (even though I'm brazilian - he destroyed us in two world cups), so just seeing in detail some of the marvelous flicks and stepovers of the man was quite entertaining.
But looking at specific scenes, besides the bits that you guys already pointed out, I thought the ending was terrific, you really couldn't make it up. As in all good surprise endings, the final reveal shocks you but isn't surprising at all - makes perfect sense. Disturbingly prophetic on the events of the 2006 World Cup.
Also, the play down the left that lead to the first goal was amazing. It happens so fast that you have a hard time grasping what he just he did, until you see a replay from above. It makes one think of how incredibly tough must be for defenders to mark the true great ones, like Zizou.