I've only read the comics up to a certain point, but I enjoyed the Nightmare Rarity, pirate, and storybook arcs.  I'd most like to see the pirate arc in the show itself; both because it fit Rainbow Dash so well (she speaks fluent pirate) and because it introduced sea ponies.

Well, Hasbro's said the comics are canon, so all the stuff in them has happened, but it's probably never going to be referenced in episodes. Because it would really suck for anyone who doesn't read them, to have all these stories being referenced and used that they've never seen before.

 So, the comics, and also the Chapter Books exist in the same way that EQG does. They happened, but outside of some little small thing like Flash Sentry being in the background, they'll never really get referenced in the show.