My favourite episode so far has to be the season 2 finale (2x25 - unmAsked).
This was what the first two seasons had been leading up to, "the big reveal" so to speak, where we were finally going to find out who -A is! I loved this episode so much because the build up was so intense and the way Mona was revealed as -A shocked me like hell. Plus, we also got a couple flashbacks of Ali before she "died" and ultimately found out that Mona wasn't alone and that there were a team of people stalking the girls. And the CHERRY ON THE MOTHERFUCKING CAKE... this episode marked the beginning of the "Red Coat" mystery :)