Must like yesterday, this question strikes me in a weird way, mostly because every time we game I ask players to write down the coolest thing another player did. And my players are the kind of people who relish the big action moment, the ton of damage, etc. On occasion they cite a clever turn someone played, which is cool.
But I'm going to go about 15 degrees off course on this question by talking about the coolest thing I ever saw a player do. Namely come back. I'll explain.
A long time ago, I was running Castles & Crusades for two couples and another single adult and a couple of kids (all of whom belonged to one of us). It was my first time running C&C, the Rosetta Stone of the Old School Renaissance and I really didn't know what I was doing. I mean, the story was fine--a long campaign entitled "The Legacy of the Dragon" and was kind of a dungeon/hexcrawl mix. What I didn't grasp was that in OSR games you reward experience for treasure. Or at least you do in some editions, and C&C was one of them, even though it fell under "suggested" rules. As a result, PC experience progression was glacially slow.
In one session, the PC's were in some dungeon or another when they ran across a wight, which in OSR iterations could drain levels, and sure enough the guy managed to plonk one of the PC's right before dying, a PC belonging to a young girl, the daughter of one of the players.
In one cruel swoop, months of hard-earned XP evaporated as the level was drained. The girl was heartbroken and reduced to tears. She was devastated and left the table, and I wisely called the session to an end.
The next time we played, the girl surprised all of us by coming back to the table, still grim-faced over what had happened. One of the other players (the single guy) had anticipated her return and out of respect for her sacrifice and her willingness to keep playing had purchased for her a rather large bronze d20 which he presented like it was some kind of medal. It's easy to quit when you've had a bad turn in a game, especially at the hands of a schlub GM who doesn't know what he's doing. It's harder to find the maturity to come back.