Well, I always felt "Who Shot Mr. Burns" showed Burns at arguably his most evil. Sure, he's done evil things before, but here he was stealing oil and trying to block out the sun. It was pretty epic. Smithers refusing to go along with the plan only made this aspect stronger, because he RARELY goes against his boss's wishes.
The whole "can't remember my name" plot with Homer was both funny and tense, especially the scene when Homer is dragged away by Burns's goons and shouts over and over that he's a dead man.
The mystery was actually well-crafted and, at the time it aired, I was genuinely in the dark as to who shot Burns. Pretty much everyone had a reason to do so, and there were no eye-witness accounts. There were a few red herrings. Even though Maggie shooting Burns sounds like a lame idea on paper, it was executed just right so that it seems plausible.
I also like the whole yin/yang aspect of the two parter. Part 1, while still very much a comedy episode, is fairly ominous throughout. You know something bad's gonna happen down the line. Part 2 is like a catharsis. The comedy is here full force, sort of as a pressure valve release from the gloom and uncertainty that ended part 1. In fact, I recall on the commentary that they had to speed up the episode by, IIRC, 10%, because they had so many set pieces to cram in.
It was a close call between this, "Treehouse V", and "Homer at the Bat", but ultimately I went with "Bat" because it makes me laugh the hardest out of the three/four.