Blizzard is working towards vastly improved functionality for Overwatch's Highlight feature.
Ever wanted to relive that incredible Mercy team kill you managed only to find that the highlight has vanished? That's because the current system doesn't preserve highlights between play sessions. It automatically archives five highlights per session, overwriting older ones as the limit is reached. You can view these from the main menu. Exit the game, however, and the highlights are wiped.
Naturally you could use a screen recorder to back-up your favourites, but that's a faff. Game director Jeff Kaplan agrees, and announced on the Overwatch forums that Blizzard is working on in-game save and export functions.