Hmm, it's strange that I've never seen a thread for this, because it's a question muppet fans ask each other a lot, so thanks for making the thread. My all time favorite is The Great Muppet Caper (1981), because of all the awesome songs, fourth wall jokes, all the action and it's satire, one of the best climaxes in the universe, and so much more, it really has it all.
Comedy
Action
Suspense
Romance
ECT. ECT.
It truly is perfect, my only complain is the 4-minute Piggy's Fantasy scene, that's it!