My favourites are Response to Bero's Speech, for illuminating the schools of magicka (essential for a mage), Disaster at Ionith, for the insight into what Akavir is truly like, Fall of the Snow Prince for the Falmer, Spirit of the Daedra for the thoughts of a Dremora that aren't "Break and fall!" or "Back, nithing!". I also like the last page; "Man's Mystery - Man is mortal, and doomed to death and failure and loss.
This lies beyond our comprehension - why do you not despair?" Doors of Oblivion nicely describes the realms of Oblivion we've not seen. I also like A Surfeit of Thieves and Vernaccus and Bourlor for being good yarns with a touch of dark humour.
Oh, and who could forget The Lusty Argonian Maid?