Season 1 finale
I didn't like this one as much as the other two. Though I found Fluttershy's breakdown to be hilarious. The whole thing fell apart for me at the beginning then slowly built itself backup as it went on.
2
The season 2 finale was amazing. The songs were killer, and the story was very well thought out. I also loved Chrysalis as a villain. (Chrysalis is best pony). I also loved the fight scene between the changelings and the mane 6. The party canon returning as a weapon, was awesome. Love is in Bloom is still one of my favorite songs in the series.
3
Season 3 was my second favorite, because it felt rushed all the way through. The songs in my opinion were even better then the season 2 finale songs. (Especially "I have to find a way") Celestia's song was in my opinion too much of a Miss America host song. (If that makes sense).
My Favorite finale is the season 2 finale. The villain is still my favorite. The songs were perfect, and the story was great.