So as I sat in front of the four volumes of Futurama trying to decide which I'd buy I considered what was in each one that I knew of. All it took was to see that Volume 3 had "Roswell That Ends Well" for me to grab it. By and far that is my favorite episode, and not just because it won an Emmy. It's a pure example of how Matt Groening loves messing around with the future and past altogether. For those who want to be sure of what they're buying here's the episode list.
Amazon Women in the Mood, Parasites Lost, A Tale of Two Santas, The Luck of the Fryrish, The Birdbot of Ice-Catraz, Bendless Love, The Day the Earth Stood Stupid, That's Lobstertainment!, The Cyber House Rules, Where the Buggalo Roam, Insane in the Mainfraim, The Route of All Evil, Bendin' in the Wind, Time Keeps on SLipping, I Dated a Robot, "A Leela of Her Own," "A Pharaoh to Remember," Anthology of Interest II, Roswell That Ends Well, Godfellas, Future Stock, and The 30% Iron Chef.
What I enjoy most of this one is how there's a nice spread of character focus. There's a good few about Fry and Bender, some episodes about less-touched on characters (Amy, Kif, Professor Farnsworth and his son as well as Hermes and his son,) nad some on Leela. While it's mostly the first two you can't blame them for capitalizing on who you could consider the main character as well as the token robot.
Of the episodes that are personal favorites I enjoy Time Keeps on Slipping (the Professor inadvertently causes time to randomly lurch forward causing some interesting jumps,) Anthology of Interest II (Bender as a human, living in a video game world, and a parody of The Wizard of Oz with Leela in Dorothy's shoes,) and Godfellas (Bender getting a chance to play God.)
All in all a great collection and definitely a must-have.