Fiendlord's Keep, right after the fight with Slash (which was easier than the one against Flea). It's the first time I've played the game that far, and the Fiendlord's Keep music creeped me out.
But I can't wait for the fight against Magus, because that is one of my favorite pieces of video game music.
And yes, Lucca is better than Marle and is my favorite of the two.