The audacity.

It worked out. Philae lander with harpoons was comparably complex but mostly failed unfortunately.

Mainly because it's a complex multi-step plan with so many potential failure points, which would already be impressive if executed on Earth but even moreso being executed on a distant planet where the conditions are different enough that it can't be fully tested in advance, and yet despite that the whole scheme worked flawlessly.

But if I had to name a specific part, I'd pick the control system. The skycrane is dangling a heavy rover from a pendulum controlled by rockets. It's unstable in every axis and has tight performance requirements to let the rover down softly and not kick up dust. Just very impressive.