Episode-wise... Gosh, there's just so many that stand out in the first seasons. The Anthology of Interest episodes, the first Christmas special that introduced Santa Claus, the one about Popplers, the one with Fry's dog.
My personal favorite has to be War is the H-word though. Everything about it is golden. The innuendo, the army posters in the background, that part in the camp where it's basically like a minute-long reference to M*A*S*H. I love it to bits.