It's hard to answer this one. On the one hand, there were a lot of good episodes throughout the seasons, on the other hand, when I look back at some of my favourites (usually Tony-centred ones), I find them tainted somewhat by the knowledge of how Tony was dumbed down so much in later seasons.
So, my favourite episode is About Face, in no small part due to the fact that it was a Jimmy-centred episode and gave him a chance to shine.
I'll include Dead man talking from S1 as another favourite, because I just loved Tony and MW's acting in this one. The way Tony and McGee just played off each other so well, I can totally understand why McGee was made a regular character the following season.
NCIS Los Angeles
Even easier answer than the last ones.
Personal, without a doubt!
I will freely admit that Deeks is my favourite character, and this was just a completely Deeks centred episode. Even the scenes when he wasn't on screen, he was still the focus of most of the scenes.
Add to that some amazing acting by Eric Christian Olsen, and the wonderful Deeks-Hetty scene at the end, and Personal is most definitely my favourite episode of NCIS LA and indeed any show I've watched in the last year.