For me it's gotta be, hands down, The Life and Death of Jeremy Bentham. (S05E07)
The scene where Ben talked Locke out of suicide, only to murder him a few minutes later... Damn. Has to be one of my top, all-time fave Lost scenes.
Locke's tortured soul and his persistence to find purpose have always intrigued me (and tugged at the heart strings), so I loved this episode the first time around....
Now, at the end of the season, to learn that Locke *really* is dead. Well... that only made me love "The Life and Death of Jeremy Bentham" even more.