I think my favourite is Crunch, the Rock Dog. When I got the DVD set (which my ex has absconded with, thank you very much...*grumble*) that's the episode that I immeadiately thought of. I like Return of Tambelon as well...of course, Midnight Castle is my all time favourite, but, not exactly an "episode.."
I like that the shows are kind of dark...that they actually have villians...