A steal of home is exciting, but it happens so fast you really don't know what's going on until it's over. Especially on TV, you wonder why the hell the catcher is jumping out of his stance, the guy slides, then it's like, "Wow, he just stole home. That was cool."
For baseball, a triple or inside-the-park home run is a lot better. There's some build-up, and with the homer you can see that goofy bounce that's required and automatically start thinking the guy might have a shot.
I think the most exciting is a kick return in football. You can kind of sense what's about to happen, see it unfold and then get fired up those last 30 or 40 yards as the guy breaks into the clear. There's even that last bit of tension as you wait to see whether there's a flag somewhere way away from the play.
Plus it's common enough that you know it might happen, yet rare enough that you're never really expecting it, and it can totally turn a game around.