My favourite episode that season would have to be "Not Fade Away". I really loved all of the episodes in season five, they got really creative and it had a lot of highlights in it. Cordy coming back for "You're Welcome", David making his directing debut in "Soul Purpose", and of course the puppet-Angel in "Smile Time". But out of all the episodes the Finale was my favourite.
When I watched it I laughed, cried, and it seemed to tie together everything that'd happened over the season. But the thing that I loved most about it was the ending. Joss Whedon left it on a cliffhanger but I can't think of any other ending he could have done that would've done the show justice. It left it open for the fans to figure out, and after reading all the fanfics and theories on what might've happened after the final scene ended I think the cliffhanger was brilliance, and it shows that even though the show's over, the story will go on.