Season 3, just because it was right after I started watching. Dean, who at the time was my absolute favorite character and still is, screaming for Sam made me so sad because they were the only family they had, but at the same time I was like "He's an important character, why would they do this if they want the show to go on?"
Season 4 is my second choice. I was just so curious to see how they were going to show Lucifer but I knew they wouldn't. I liked the episode overall too; Dean goes to save Sam and the two of them finally kill Ruby, which made me very happy.