Wow, too hard to pick one. But a few things come to mind in 30 seconds:
-Season 2 "Man of Science, Man of Faith," starting with some guy riding a bike and listening to a record...suddenly, BOOM!!! WTF?

HE'S IN THE HATCH??? SOMEONE LIVES IN THE HATCH???
-Season 3 "A Tale of Two Cities", Otherville when we first meet Juliet, the book club, I'm wondering whose flashback this is, then suddenly they all run outside and we see the plane crash overhead. Ben, Goodwin, Ethan...WTF?

THERE IS A VILLAGE ON THE ISLAND?

?
-Season 6 "Dr. Linus" when Ben and Ilana were in the jungle and he was explaining himself. One of my favorite scenes ever.
-The first time we "see" Smokey coming through the jungle...WTF IS THAT???
-Michael dying, because my god, I was so looking forward to that.