If we're talking the latest series, as epic as the spectacle of the Battle of the Bastards was, I preferred the final episode. @Craigie I think you've summed up the BoB perfectly.
The sequence with Cersei in the Red Keep/everyone in the Sept of Baelor/Lancel in the underground passages was up there with any other. The way it was shot and the special effects were breathtaking were brilliant but best of all was the use of music. That was one of the bits of the later series that stand up to comparison with any of the great scenes/sequences of the earlier series imo.