The first episode is one of my favorites but another one would be the episode where Tsukasa is stuck watching a sick grunty. The ending was really sad when the grunty died though he did find the key item to curing the grunty.
although i did like the one wher tsukasa gets his guardian and ginkan tries to capture him at the entrance to the dungeon. also when the silver knight set a trap to catch tsukasa in that snow feild
my favorite episode has to be the final episode(Not including the extra episodes) when skeith appered and data drained sora.
I loved how it led right into the first game with skeith chasing aura.
It could have possibly led directly to the games, but I believe that Zero is supposed to summarize what happens between the two. Not that it's out in english or finished in Japan at all.