The climax of any game is the battle with the final boss. If it's a good game, it will have more than one (battles to get new abilities, etc.) these need to be exhilerating and challenging and make the player feel like yelling, "Oh yeah! Who's yer daddy!" when he/she beats it. You can't make one too difficult, however, or it'll be frustrating- and a frustrating boss battle can drive players away like a tarantula at an Arachnaphobics Annonymous meeting.

Where do you get started? Let's assume you already have all your animataions, etc.

First thing is not to make it too simple. The player will get bored if all you do is shoot the thing. For example, in my Crappy Game (don't accuse me, it was my first one) Alien Killerz, the final boss had to be shot with your laser until it started blinking, then you could damage it.

But don't you settle for that. You could have it so that you have to wait till the boss exposes it's head then fire at it. Or you could provoke the boss into swallowing you, then shoot it's guts (Metroid Prime and Prime 2 fans will know what I mean). There are endless possibilites:

He has a shield and only lowers it when it attacks,

You need to shoot his eye, then he exposes his weak part,

You need to trick him into firing at a reflective surface and shoot himself,

You need to shoot a ledge or something to bring an object down on him (Jak 3),

You can have there be a 'self-destruct' kind of thing and have your character beat the boss to the exit,

There are tons of possibilities so be creative!
But I need to stress this: A frustrating or unwinnable battle will drive gamers away and possibly lower your reputation as a game creator. So make your battles carefully and test them up the cazoo! Bring in friends family to test it, etc.

Happy Boss-battle making!!