My favourite ride there is the Flying Saucer (U.F.O). Many of my friends consider it one of the 'scarier' rides as the ride spins and tips you sideways while the speed of it keeps you from moving too much. The Pirate Ship is pretty great too... who doesn't love going upside down?!
I have also been to Luna Park for functions. The main function room is right on the water with amazing views of the harbour. (It is a great place to see fireworks too!)
I think the best thing you can do is take your camera. Some of my favourite photos ever were taken at Luna Park - everyone is happy and silly because of the rides, there are funny cut outs you can put your face in, and if you are there at night time the lights around you are beautiful. That way you can relive the memory of all the other fun things there over and over again, just be looking at the pictures.