As a kid I really liked the Ewok Village. There's so much you can do with that! The trapping net was sweet.
I also loved the Dagobah set. Many bad guys met their fate in the "quick sand that led to the underworld" AKA the mud.
As a collector I think the coolest sets are the ones that came bundled with figures, like the Cantina Adventure set and the Cloud City Play set.
When I was a kid I always looked at playset/vehicle boxes and wished they came with the figures pictured on the box. I guess that's why I like them.