In addition to the episodes already mentioned, two really stand out.
1/ The one that introduced Kudos and Kang - the "Octopus Aliens" - in which they kidnap Bob Dole and Clinton for "Study" and then go down to Washington and win the election, causing the ruin and enslavement of Earth
2/ I don't remember the episode name, but its the one in which Homer is introduced to the "Secret Society" that actually rules the world. In it, the members have that unforgetable song with the chorus "We do, we do." One of the secret members is a little alien Martian guy - very funny stuff.