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.