Some people like the really heavy special-effects episodes. I, on the other hand, tend to prefer the really heavy political episodes. But if the two happen to coincide, it sure doesn't hurt. :-)
The only first-season episode that really blew me away was Chrysalis. This one really is a near-perfect episode to me; it really has all of the elements I like. First of all, it focuses on two of the characters who are most intriguing to me, Delenn and Morden (who has some *really* interesting interactions with Londo in this episode). It also has suspense -- the shooting of Garibaldi. But the most interesting storyline, to me, is the death of Earth's President Santiago, the ascension of the new President Clark, and all of the political intrigue that surrounds it. Absolutely a masterpiece.
For the same kinds of reasons, I also like the three episodes in third season that JMS has referred to as "a three-act play" and a "mini-arc": Messages from Earth, Point of No Return, and everyone's favorite, Severed Dreams. These three episodes concern the political events which eventually end with Babylon 5 severing ties with Earth. The stuff with Nightwatch is really exciting, and really thought-provoking -- it begins with "Messages" and ends with "Point". "Dreams" is where they actually show the break with Earth. Everyone loves "Dreams" because of the special effects, but really there's so much more that's wonderful about the episode: Delenn's confrontation with the Minbari government, the Grey Council, is great (it's particularly intriguing to me because it mirrors a lot of things that went on in portrayer Mira Furlan's real life in former Yugoslavia before she fled the war), and this episode really shows her at her best when she gives her famous speech to the Earth Force vessels: "Only one human captain has ever survived battle with the Minbari fleet. He is behind me. You are in front of me. If you value your lives, be somewhere else."
Two other episodes that I like, not because they particularly showcase the political intrigue that made me love the show, but because they are simply extremely well-crafted episodes, are The Coming of Shadows and Shadow Dancing. The character development of G'Kar (even though I'm not a big G'Kar fan) and Londo in "Coming" is amazing, and the irony behind G'Kar buying Londo a drink and being willing to "make up" right after Londo has arranged for the destruction of a Narn outpost is vintage JMS. This is the episode that won the 1996 Hugo! "Shadow Dancing," another one people love for the special effects but in which I see so much more, is another near-perfect one. There's a very personal storyline with Franklin, and a very public storyline with the Shadow War, and *both* are exciting. The feeling of sitting on the edge of one's seat is very intense, and as JMS switches between the two storylines, you feel tossed back and forth. This is a real emotional roller coaster episode. The only thing I didn't like about it was the scene with Sheridan talking to Ivanova and Delenn about Kosh's cryptic comments. It seemed too much like "telling, not showing" -- but this is really a tiny problem in an otherwise absolutely perfect episode.
Honorable mentions: The Long Twilight Struggle, The Fall of Night, Dust to Dust, War Without End, Z'ha'dum, and Whatever Happened to Mister Garibaldi.
My favorite stand-alone (non-arc) episode is Confessions and Lamentations.