I will say that I have never been shocked more than at the end of the Sixth Sense and at the end of Walkabout. Its the feeling that came with such a revelation that Bruce Willis was dead and that John Locke was paralyzed. All the pieces of the puzzle that made up the time you have been watching finally all make sense in a rush of realization and awe that you can't help but turn to your friend and scream holy shit!
That is why Walkabout is my #2. But not only that, it introduces the once mysterious, John Locke and his extremely boring everyday life. He works at a box company during the day and calls a sex line at night. He has no friends, no family, and no life. But that is what makes Locke so great. On the mainland he was nothing, on the island he is everything. He hunts, builds, and plays a mean game of backgammon. What's not to like?
The writers went to great lengths to destroy our image of Locke as a man to build him back up as the man on the island and it really payed off. There has never been an episode with such an amazing impact like Walkabout. Even now when I watch the episode, I still get chills when you see him stand for the first time.
Its simply amazing.