My favorite is [both] of the plays on episode 8 dealing with the concept of divine justice.  Especially in that the concept only somewhat fits the events of the episode if you see the body switching as a misfortune though I will argue that it's actually a good thing in Anthy's case (though not so great for Utena.).

I love the one with the mantis and the butterfly chasing each other, then insecticide (or air freshener whatever) sprays them and kills them.  The chasing always makes me laugh.

Oh!  And the other one that makes me laugh is the monkey chasing robot.  Haha.

I haven't seen every episode yet (gasp! I'm halfway through the Akio Arc), so I'm not sure and I can't remember them all. I like how some are silly and some are serious, but they always have a point and reveal something about the characters in the episode.

All of C-ko's are totally wacky. I like how resourceful she is to do them by herself (then again, she probably isn't quite human), and I love the one-liners that Utena or another character always give to her.

I actually like the ones from episodes 3 and 4 a lot, because they're easy to understand and they make a good general point as well as one about the characters. The one from episode 9 was really poignant and one of the sadder ones, and it made Saionji more sympathetic to me. Episode 12 might actually be about the shadow girls themselves, which is a rarity, so I like it for that reason, but I guess it might also be about Anthy.

They're just too awesome, and my favorite characters, so I'll have to watch the episodes again sometime to really decide.

I don't like the shadow plays much but I'm trying to develop a greater appreciation for them as I watch the series again, and trying to figure them out more.

The one shadow play I do love though is when Akio, Anthy and Utena are watching the play put on by the shadow girls. The play that basically tells the truth about the prince, and the witch (I DIG when the sister's nose falls off to reveal the witch!), and the witch caging the prince, and how the witch is still out there in the world. Cue camera panning over Akio's languid eyes, Utena's stupid but happy expression (as she sits in the middle lol), and Anthy's big very fake smile (somehow filled with pain in my slightly biased opinion).

Mmmmmm shadow plays that tell it like it is. Or at least tell a version of how it might be. Nice.

Has anyone else had the sneaking suspicion that the Shadow Play Girls are behind everything in SKU?

Oh yes. In fact, i like to think of them as the Fates of all anime, stringing plots and worlds along in order to do...stuff. But they are seriously spooky. especially the command center in the movie.