Mines has to be the saiyan saga, it hooked me from the very start. I just loved the furious battles, and seeing how Goku and co. have changed since DB. However the Frieza Saga is just as good, seeing how the first super saiyan in ages awakens.
Lol I have to say the Cell saga because it was the coolest one because it hooked back to DB and it introduced SS2 Gohan who was just insane lol but it is by far my favorit DBZ saga followed by the Buu Saga
I would have to say the Saiyan Saga. You learned with Goku's fight with Vegeta that he was willing to push any limits to protect his friends and family. King Kai said he wasn't physically able to stay at Kaioken, but he did and that was the start of him knowing he could push himself all the way to SS and further.
The Saiyan Saga and the Cell Saga is a tie for me. In the Saiyan Saga the battles were really fearce which was awesome to say the least. The Cell Saga pretty much show the true capabilities of the Super Saiyans which was really enjoyable.
I would have to say my best saga is Cell saga, because that's when you first see Trunks, and I love it when they go train in the Chamber room. Also that's when you get introduced to Super Saiyan two gohan where he goes nuts on the Cell Jr's also that's the saga where you finally see Vegita going Super Saiyan which was a great moment.