Two is still my favorite, because it has the best characters before they all start dying. Also the build up to the shocking and climactic end was great.
Five ends the game brilliantly and made me cry on at least 3 different occasions.
Three just went way overboard with the feels, you get hit with Carley's death, then Duck's fate, they fuck with you immediately afterwards with the zombie Clem dream, and then there's Katjaa's decision.. So much big shit happens.
Four was utterly exciting, especially meeting Molly and then all the unexpected things that happen at Crawford were fun.
One was amazing, and set up the story perfectly. It's only last because Telltale definitely improved the gameplay with each episode being better than the previous.