I used to be a huge fan when I was younger but I haven't watched it in a few years. I couldn't say which episode is my favorite because I don't remember many episodes. But I know I've seen all of them when I was younger.
Alf was one of my favorite television characters when I was a kid. If it's ever on television I try to watch it since I forgot most of it unfortunately.
I really enjoyed it as a kid.
Though I couldn't possibly point out a favourite episode.
One does stick in my mind and that's when there was an alien that happened to have come on in his spaceship and grew bigger every time Alf sneezed, or something like that.