Although I saw a couple of episodes beforehand, I wasn't really hooked into Futurama until the Xmas Story.
I thought the evil santa was an interesting twist.
I felt for Fry and Leela when they had their sad moments.
Twas the first time I laughed at Bender jokes.
Fry captured my heart by being self sacrificial.
And I felt the first shippy moment and was extremely frustrated at the nearly kiss.
...
Just in case you want to know what episodes I'd seen before that didn't really attract me: Love Labour's Lost in Space and The Problem with Popplers.