Moulin Rouge has my 2 favourite songs in a row- 'El Tango de Roxanne' and 'The Show Must Go On', but my favourite scene is the one in the middle where Zidler tells Satine she's dying and that she has to convince Christian that she doesn't love him.
Nicole Kidman especially, is amazing in this scene with Satine's whole speech about Christian loves her and that they're leaving together, especially her delivery of "He loves me Harold. He loves me. And that is worth everything. Were going away from you, away form the Duke, away from the Moulin Rouge!.", her reaction to hearing that she's dying and looking toward Marie to see if it's true, and her reactions to Zidler's 'we're creatures of the underworld' speech convincing her to make Christian believe she doesn't love him to send him away (which I also love).
There's also a great moment at the end of 'The Show Must Go On' when Satine stops near Zidler and he gives this sympathetic look, before she you see her square her shoulder and steel herself to go talk to Christian.