My favourite episode would have to be where Sam and Dean first meet the archangels.
You're evil for making me choose just one. >:O
For seriousness, I'd say "What Is And What Never Should Be." For lulz, it's "Changing Channels."
though one but i'll go with the when they meet up with the horseman of Death
His entrance was pretty damn epic. Glad he's back for season 6.
"The French Mistake", hands down. I was laughing the whole time. Runner-ups would be "All Hell Breaks Loose" part 1 and 2.