I was spoiled for pretty much every episode in the original run, since I didn't begin watching the series in earnest until after I had found CGEF and read through some of the episode capsules and whatnot; therefore, none of the twists from the first four seasons really shocked me. I do imagine that "The Sting" would've blown my mind, though, had I not already gleaned from internet reviewers that it was all just a dream. Oh, and I might not have been spoiled for "The Luck of the Fryrish," which has a pretty nice twist ending that still manages to give me goosebumps whenever I watch it.
For me, the best plot twists are those of Bender's Big Score and Rebirth.
I agree with this completely; I did not see either of those twists coming. (Well, I figured out that Lars was Fry when he tearfully refuted Leela's claim not to love her with "I've always loved you"...but that's really
getting it in under the wire, as the actual reveal happens about thirty seconds later.) The one in "Rebirth" is particularly well-done, I think. Also, "Lethal Inspection" has a pretty nice twist ending, on-par with "The Luck of the Fryrish."
I will say, though, that a lot of other new run episodes (particularly from the current season) have failed to surprise me. Like, I predicted the endings of "The Bots and the Bees," "The Butterjunk Effect," and "The Six Million Dollar Mon." Granted, their predictability does not really affect their enjoyability, so I don't mean this as a criticism of the Everything That Used to Be Good About This Show Sucks Now variety. I'm just making note of it is all.