His entire halftime show at Super Bowl XLI is amazing. When told it would be raining, he just said "can you make it rain harder? Great backstory in first link below.
Another great moment was his solo at the end of "While My Guitar Gently Weeps" at the Rock and Roll HOF induction of George Harrison. Another guy took over the solo in the brief rehearsal the night before and the producer was really concerned. Prince just told him not to worry about it.
The result was perhaps the greatest live guitar solo in history... falling backward into the crowd and then throwing his guitar straight into the air and walking off stage at the end was epic. You never see it come back down...did god catch it?
