I think my favourite episodes so far are Bloodshot in season 1 and A Price Above Rubies in season 2 :)
EDIT: Now that I've watched the entire season 2, I have many more "favourite episodes" XD I like 2.01 (a lot!), 2.07 and 2.08 (Red Bulls, when Bosco and Jane have to work together and the Red John one), 2.20 (the one with Malcom McDowell as guest star) and the last two! I know, they're a lot XD but I just love the show!! :D
My fave is S1 ep 18, Russett Potatoes.
It's the episode where Rigsby gets hypnotised and while in his hypnotised state he breaks a suspect's nose and kisses Van Pelt!! It's really really funny!!!
I also love S2 ep 5, where Rigsby and Van Pelt finally get together!!!
Flame Red. I noticed Moby Dick when Jane was looking around and knew that Tommy wasn't retarded, ergo, he's the killer. It took me a while to become observant enough to work out who dunnit in each episode and this was my eureka moment: unforgettable!