Frieza and Buu sagas were my favorite. It was when Goku and Vegeta both appealed most to me - Goku turning SSJ the first time, and Vegeta's whole Majin phase.
I had seen a side of Goku that I'd never seen before, one that was more than willing to kill his opponent. His face turned more evil, and he was pure of heart, though he was awakened by fury. Goku's final duel with Frieza on the vanishing Planet Namek was one of my most favorite fights in Dragon Ball Z, watching them rip apart the world just to try and rip apart eachother.
On the other hand, Vegeta's dark heart had been reawakened, bringing back the blood lust that fueled his odyssey across space while under Frieza's control. All of the things he cared for had been relinquished, and a craving for revenge and redemption were left inside. All of the things that he thought would make him strong had left him, making him stronger than he could've imagined. It was his last moments as a Majin that really struck me, how he had still cared deep down for his son, how he had sacrificed his life to try and save everyone's, and how he had changed so much as a person. It's nothing less of a fact that the old Vegeta, the one who had clung to the title of prince, would have never even considered that as an option. He was one of the few characters to actually develop over the course of Dragon Ball Z, and is quite possibly the most interesting character in the entirety of Z.