POSSIBLE SPOILERS IF YOU'RE NOT CURRENT
Ugh, the story arc that killed off Kate was a tough one. I especially liked the story arc surrounding the team going to rescue Ziva, though. I've watched NCIS from S1E1 and find it to be by far the best 'crime' show on television.
Other favorites:
The episode where we meet Jethro's father.
The story arc where the psycho lab assistant was framing the team members and stalking Abbey.
The story arc that killed Mike Franks.
The story arc that killed Jenny Shepard. - 2nd toughest group of episodes to get through behind the Ari/Kate episodes above.