What makes Through the Looking Glass my favorite episode is Matthew Fox's performance in the flash forwards... I'd never cared for Jack throughout the first 3 seasons of the show, he was just the okay lead character in my favorite TV series. But ever since Through the Looking Glass, Jack has been one of my favorites on the show.
I realized fairly early that it was a flash-forward, for one cheesy reason... Looking at Jack's pre-island timeline, when the hell would he have grown a beard like that? Heh. By that point in the show's history I was just waiting for an episode to end with the reveal that what we'd thought would be flashbacks had actually been a glimpse of the future, it just seemed like the perfect Lost mind fuck. But I had no idea they would pull it off as well as they had.
The guilt Fox conveyed in that episode, the backstory he implied through his character's behavior was just amazing. I knew from just the way Jack looked at Kate that the two of them had become lovers but parted ways, I knew Jack made choices on the island that still bothered him to that day...
It's amazing to me how Through the Looking Glass just sort of bleeds into There's No Place Like Home, making season 4 just an absolute roller coaster. Through the Looking Glass is like a nexus in the series' history, even now the Oceanic 6 narrative is only showing us stuff about day or so after the famous "We have to go back!" scene.
But honestly, all the season finales of Lost would be on my short list for "favorite episode" The annual Lost season finale is like my version of the Superbowl, the couple of hours of TV I look forward to the most every year.