Lots and lots of times when I'd reach a new area for the first time and see something exquisitely Lore-appropriate, and realized that Turbine had gotten it right, once again.
First example: making a new Elf character, and going through the opening instance, and the appearance of Master Elrond -- so wise, so noble, so beautiful, They got HIM right.
Then, starting a dwarf character and landing at the Silverdeep gate, and there was Gandalf, and they got HIM right, and then standing there talking to hm, GOOD GOD, THAT'S THORIN OAKENSHIELD! But he's DEAD! and watching their conversation for a bit and realizing they're about to start out for the Lonely Mountain.
All the people and critters and places, each come upon with a shock; as, Bag End,the Stock-brook, the Golden Perch, the Forsaken Inn Weathertop...
Saeradan the Ranger, with his male pattern baldness.
More recently, the salamanders of the Barandalf. They are huge amphibians (there were amphibians that size in the Devonian and Carboniferous), with their colorful shiny skins like real salamanders -- but they are also spirits of fire, as alchemists thought in the Renasissance. Yet once more, Turbine did its homework.
Gollum, and the various hints that are dropped before you actually see him.