Don't know if it was my favorite scene....but the last episode of season 2 where Tony is talkin to those fish on the pier and the one with Big Pussy's voice says "Tony, you see these guys next to me? They're sleepin." Classic.

I also liked the end of the episode in Season 1 where they're at the meeting where Uncle Junior is named skipper. The way the music is played as the camera on the guy's nametag goes off is pure genius.

Have to forgive me...I don't have HBO either so I'm not sure on exact episode numbers. Probably have the quotes wrong too.