My favorite episode has always been the one where Bart sold his soul to Milhouse. In retrospect, it hurts a little that this is exactly what Matt Groening did. He sold the heart and soul of 'The Simpsons' and did the same with 'Futurama'.
Lisa: Hmmm...Pablo Neruda said, "Laughter is the language of the soul."
Bart: I am familiar with the works of Pablo Neruda.
Bart: Are you there, God? It's me, Bart Simpson. I know I never paid too much attention in church, but I could really use some of that good stuff now. I'm...afraid. I'm afraid some weirdo's got my soul and I don't know what they're doing to it! I just want it back. Please? I hope you can hear this.
Bart: Lisa? You bought this?
Lisa: With the change in my piggy bank.
Bart: There's no change in your piggy bank.
Lisa: Not in any of the ones you know about.
Bart: Oh, Lis! Thank you!
Lisa: Happy to do it. But you know, Bart, some philosophers believe that nobody is born with a soul...That you have to earn one through suffering and thought and prayer, like you did last night.
(Bart/Lisa episodes pluck at my heartstrings for other reasons now.)
Other three in no particular order...
Homer and the chili cook-off episode.
"Take that, Space Coyote!"
The Bart and Jessica episode.
The Lisa and Nelson episode.
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Good thread!