My favorite set piece in all the games was the building in Uncharted 2, followed by the train. I honestly like the tnt to the run away from Guerro to the river more than anything in Uncharted 3, including the Cruise ship. Uncharted 3's set pieces didn't do much for me because they all fat tacky and disjointed. Sure, the part where you chase Talbot in Yemen was cool, so was the cruise ship, and the plane, but there was always these time intervals between them. You wake up from a dream in Yemen, and it ends with you ending up in the posession of Pirates. You get to the Cruise ship from boats (this is the only good transfer to a set piece, but since it was not essential to the story, I didn't care), but then you wake up back in Yemen. In the plane, over looking the day or so and the drive to the airport, you get on the plane and wait 2 hours. Then you crash, and they break it up.
In Uncharted 2, the game hit the collapsing building, and you never lost Drake. You know where he was for the hour straight prior and the hour straight following. The game lead right into the train from there, then after the brutal train ride, the game slows down for you. This is called good pacing, it feels right to have Drake wake up and be like "what the hell happened, where am I?". Then there's the convoy, the sniper battle in the monestary chapter, Shengrila, you never loose Drake again. Good pacing, this game did it right.
GA did was closer to GA in this regard. I didn't love how you wake up in the burning building, but when its over, your with Drake straight to when you go down the River. Then you go from there straight to escaping the hole in the ground with Dante. Break, then straight from there on. The game wasn't disjointed. It had breaks just like Uncharted 2, but they helped the pace more than anything. They were good places to take a break.