I think I've mentioned it before, but his 2003 feud with Kane, which culminated with the Ambulance Match @ Survivor Series 2003, was amazing and the only bright spot in the year for the company, IMHO (of course I may have negative bias due to that being the year I was dealing with my mother's ill health, but I digress).
My favorite match from their feud:
WWE Unforgiven 2003 - Shane McMahon vs Kane in a Last Man Standing Match