My three favorites are the first, third, and fifth.
I like the raw feel of the first season. In fact this is something I like about many first seasons. I guess I can see why others dislike it, probably for reasons I like. But it's so much fun, seeing less-than-perfect versions of characters like Fozzie, Miss Piggy, and Gonzo, seeing the things that made this season this season that didn't work out (making them sort of a rare treat, though not so rare in the context of the season). You could call this a guilty pleasure for me, except I don't feel guilty about liking this season.
The third season is a great improvement over season two. The writers and performers seem comfortable with the characters and the format, they start to have a good handle on episodes where the backstage conflicts interfere with the on-stage stuff, and we're introduced to great new characters like Beauregard, Lew Zealand, Gladys, Bobby Benson, and Louis Kazagger. One downside to this season is that some characters who appeared quite a bit in previous seasons (Dr. Teeth, Sweetums, Crazy Harry) start to appear less frequently on the show.
And the fifth season is really great. I don't see how anybody can dislike it. It has my favorite versions of the opening and closing theme (perhaps because part of this verison of the opening theme was the first version I saw, when a clip appeared in The Secrets of the Muppets, while this verison of the closing theme appeared in the 1985 compilation videos). This season includes the debut of Lips, Rizzo and Gaffer start appearing more, and there are a lot of great episodes and segments from this season (some of the best episodes include the ones with Loretta Switt, Shirley Bassey, Linda Ronstadt, Gene Kelly, Marty Feldman, and Brooke Shields). Maybe my opinion will change when this season finally comes to DVD and I see all the episodes (I know, I can probably watch all I haven't seen on YouTube...). The only problem I have with this season is that it seems to have too many themed episodes. Otherwise it's great.
Meanwhile, I feel seasons 2 and 4 are just in-between the better seasons (you could call season 3 an "in-between" season, but that's better than 2 and 4).