Since so many Fringe episodes end in cliffhangers, you raise a difficult question.
The cliffhanger that blew my mind has been that of episode 1.15, Inner Child. Here, the "child" is being driven to his new home with Doctor Winick; however, he suddenly sense a presence and looks outside, only to see September staring back.
It was a totally eerie, otherworldly scene; this, coupled with the fact that September hadn't had a prominent appearance since 1.04, made the scene doubly shocking. It's a shame we didn't get any follow through to that scene four seasons later (lol), but the scene itself had a great impression on me when it first aired, and I would even go as far to say that it cemented my status as a hardcore Fringe fan.