This is an almost impossible question for me to answer.
Twilight, A Better World, Hereafter, Wild Cards, Starcrossed, For the Man Who Has Everything, The Return, The Once and Future Thing, Divided We Fall, Grudge Match, Alive, and Destroyer were ALL favorite episodes of mine. I loved this show and still do.
If I had to choose my favorite would probably have to be the final episode "Destroyer." It had everything you could want from an epic story. Luthor gets his shining moment, the fused Brainaic/Darkseid is impressive as hell, and Superman is a hero as only he can be.
The Justice Lords were great villains though. Those episodes really whet my appetite for a story like the one Crisis on Two Earths gave us later.