9/11, 2008 financial crisis, covid and now the Ukraine war and the inflation it has caused (and/or Brexit for those of us in the UK) would be my picks.
I wouldn't put climate change as one of them. Having it be a specific point makes it seem like Climate change had a definitive start or end point. It's just kinda floating in the background.
Depending on which end of millennials you are really impacts things as well. I would say events going from 1990 onward would count for older millennials, but you millennials might not count anything before 2005.