This right here is my favorite Monsterpiece Theatre. The Taming of the Shoe is also a good one, but The 39 Stairs is my fav. The line, "There had better be something exciting at the top, I shall tell you!", which I sometimes randomly say to the consternation of those around me, is one of those reasons:
Grover in general is one of the others. I personally love how he almost loses his footing, and his reaction to the brick wall. And I absolutely adore the end exchange:
COOKIE MONSTER: Are you okay?
GROVER: I don't know.
COOKIE MONSTER: Stay there. We still on camera.
How could adults and kids alike not love that?