The Fifth Elephant! I really loved it back when it came out, and it is always the first I go back to reread once I finish the lot for the umpteenth time. I disagree with disclaimer saying it is Thud's unedited version though. I think it follows a similar story down a different path. Vimes' interaction with some of the Uberwaldean(?) characters is the highlight for me.

I can see what everyone is saying about NW and some of the others too. I really liked the tension that story of NW managed to build towards the end. Similarly, Jingo had some quality moments with some of the watch characters (Nobby and Colon's roles were great).
The early ones really work well as an image of the transformation the watch went through too, Feet of Clay being a particularly fond memory...

Well, reading that back I guess I like the lot, but the 5th Elephant still takes it! I just love the finish.