It's always hard to answer the "favourite Big Bad" question but I think that mine is Glory. Somehow she seemed so appropriate a foe for Buffy. Great scene in "Checkpoint" where Glory suddenly shows up in Buffy's living room. I was taken aback to see Spike openly having a crush on Buffy. Nevertheless, the relationship that he and Buffy had built up by the end of the season-mutually supporting but not lovers-was, I think, as fine as anything they had in Season 7. Definitely much finer than their relationship in Season 6. Anya was really good in this season too-really becoming part of the gang although she remained cluelessly undiplomatic. Tara too, really became part of the gang with the episode "Family".
One thing about Season 4 was that the Scooby gang was kind of homeless after they lost the Sunnydale High School library as a meeting place. Dorm rooms, Xander's basement, Giles apartment, they all didn't quite add up to the same thing. In Season 5 this was remedied when they set up in the Magic Box.
I couldn't believe it when we lost Joyce-such a vital part of the Buffy world. Just when it seemed that she was going to make it. I've never seen a more powerful depiction of losing a parent, I think "The Body" easily merited an Emmy award.
I felt that the flaw of Season 5 was that they couldn't quite establish the bond between Buffy and Dawn which lies at the core of the main story arc. There just wasn't enough time for me to really get used to having Dawn in the picture before the high powered finish at Glory's tower. Nevertheless, I think "The Gift" is the best crafted of all the season finales, and that's saying a lot.