So far, most of the posters in this thread have gone back through the decades and singled out issues from bygone eras of X-Men lore. Which makes a lot of sense, because there are so many iconic moments to choose from, and the fact that we are still talking about most of these runs decades later is testament to that. I'm going to go against the grain a little and suggest a more recent title for my favourite issue.
House of X Issue 7 was one of the most exciting X-Men issues I've read in years.
The raid on the Forge and the battle between the X-Men and Orchis was epic. The back and forth struggle between the two, as one faction sought to destroy Mothermold, while the other pulled out all the stops to defend her, is one of the best action sequences I've ever read in any comic book. Everything about it was thrilling.
The ebb and flow of the battle, as one side gained advantage over the other. The increasingly desperate measures that both parties resorted to as the situation worsened. It was brilliantly plotted, beautifully drawn and Hickman made it feel like the outcome really mattered, as opposed to being just a vehicle for meaningless action.
Also, spoiler to follow: I think the image of Mothermold tumbling towards the sun with a dying, feral Logan in tow, will go on to become one of those panels that X-fans talk about and remember years from now.