Loved every single episode of The Sopranos. For me (like so many of the recent great American TV dramas) you have to view the series in its entirity. Its developing and running themes, ideas and stories are just so well inter-woven. It is drama on a truly epic saga level. I'd say Dickensian if that didn't sound predictable.
It's true that series 6 and 7 (or 6A for the purists) were less about real-world action than the inner emotions and motivations behind the characters. I thought Tony's shooting and subsequent coma-induced "dream" story was perhaps a little overplayed, but it's a minor gripe. The latter episodes had a lot of completion of story and character arcs to do. I liked the way they explored the back-stories even further and returned to the hearts of each character's flaws.
Personally I adored both the content and the bravery of the final episode. I couldn't believe the vitriol it received from some "fans". Surely if one truly had appreciated what this series was about, then one wouldn't have felt so let down or cynical (comments that it left Chase able to make money from a movie, for example) about how it concluded.
Hard to pick individual episodes and characters. But 'Long Term Parking' was truly wonderful. And I loved Sil, which was played wonderfully by Steve van Sandt (especially the little references to his strange cleaning obsession). Chris was also a really interesting (psychopathic but interesting) character. It was really brilliant the way they demonstrated how someone trying to beat addiction through the '12 Steps' could be defeated due to (partly) their sociopathic background in the Mafia. The most important part of a 12 Step programme is honesty and admitting one's character defects. The inability to do this (partly because his crimes and faults were so terrible that they had to be constantly denied or rationalised) doomed Chris's recovery, as in a similar way it ultimately doomed Tony's attempts at therapy.
What I also like is that, despite the "fun" violence and the laughs and the magnetic characters, it always showed the casual and innocent victims of this "honourable" organisation. It was actually a very moral show.