I never really had a favorite cameo during my first few years in the fandom, but nowadays the "bears wear hats" scene in Muppet Caper with Jerry and Christine resonates with me on a personal level. Not just because of my knowledge of Christine's illness, but because of Jerry's own death and how he's probably with her again in the afterlife. (Also sorry if I bummed you all out there...)
Second favorite is Jim at the end of the Christmas special, watching all of his creations singing together. Seriously the culmination of his life's work.