A lot of people would say the most memorable part of Kingdom Hearts 358/2 Days is when it’s finally over. That’s not far off the mark, but not for the same reason.
True, the game has some (big) flaws, but the final reveal where Roxas (and you) learn the truth about Xion packs quite the punch and makes the series' lore even more complicated.
Up to that point, there’s plenty of speculation about Xion, and it’s pretty obvious she isn’t a regular Nobody, but then it all comes out: she’s yet another aspect of Sora, albeit an artificial one. Apart from some interesting Persona-like commentary on the various aspects of individual identity, it shatters the usual Nobody schtick from Kingdom Hearts II.
Nobodies and their hosts aren’t mutually exclusive, since Xion regained some of Sora’s memories and combined them with elements of Roxas. More importantly, she wants to save Roxas, implying affection, and Roxas wants to save her; in other words, Nobodies and hollow replicas can feel emotion after all, something you eventually find out applies to more than just Roxas and Namine.
The scene also serves as a tragic foil to Sora’s various moments of reuniting with Kairi. Where Sora always saves Kairi somehow and manages to find his way back to her, Roxas watches as his sort-of Kairi disappears in front of him. The sense of loss and isolation pack an emotional punch on their own, but it’s an interesting foreshadowing of Roxas’s own eventual fate as well.