Yeah, I feel you on the lack of a load menu. Kojima probably doesn't care too much for the people who play his games strictly for the stealth mechanics. I would've really loved VR missions in MGS3, though they would've had to be much more complex than the ones from 2.
As far as noteworthy moments, everything about the fight with The End. It's such a brilliantly designed battle. When he's aiming at you, the sunlight reflecting off his sniper scope will show you where to aim. Capturing and releasing his parrot will reveal his location as well. The weather changes throughout the fight and I love how you have three zones to stalk one another in. I still haven't successfully gotten his camo. There was one time I snuck up to him with the shotgun and got him to drop it, but before I could move he tossed a stun grenade and picked his camo back up. I was pissed. I kept the save right before his fight on a separate file so I can go back and play around in it whenever I feel like.
I know you're playing the HD collection, but did you ever play MGS3 when Metal Gear Online was still up? If you found the right person to play with, I get the feeling you would've loved it.