Twilight Zone was the first TV show I ever got really really into. Talk about a show that was way ahead of its time and a director/creator who wasn't afraid to bring up complicated subjects early on in TV.
Hard to say a favorite, but I'll list a few.
Looking back at the series as a whole I always broke it up into two categories: thrillers and commentaries.
For commentaries on modern society and all of its demons, I would say my two favorites are Se05Ep26 "I Am The Night - Color Me Black" and Se2Ep29 "The Obsolete Man". Both took on really heavy subjects and the presentation of their stories really appealed to me as a kid. I was always a fan of episodes that took place in one setting over a fairly linear-simple timeline. Both of these
For thriller episodes, I'd have to say Se3Ep8 "It's a Good Life", Se5Ep6 "Living Doll". I could watch over and over and over and over again. It's A Good Life has the power of a feature length film in a tv length package. Living Doll scared the absolute hell out of me.