For me, I think the most tense moments are the first, second, and fourth trials. That and Norman's fight with Mad Jack and the first time I played it and tried to figure out the killer as Norman (Madison died in that play-through at the moment you described) and pouring through all the data to figure it out and then you notice HOLY FUCK HIS EYES ARE BLEEDING.
But yeah, Madison's life-or-death scenes are also pretty intense, though IMO Madison's character is kind of weak and at times she seems to be outright fanservice-y. And it just seems like it'd be more interesting to play as Grace or possibly even Lauren. Plus I don't think Grace's occupation was ever mentioned so there's no reason she couldn't have been a journalist or something.
Also, the killer reveal is absolutely fucking brilliant and makes perfect sense when you really go back and think about it.