Homer at the Bat (most of the episode parodies "The Natural")
The parody of Run Lola Run as Lisa runs to get to school in Trilogy of Error is pure hilarity.

There are two that spring to mind. The first is Mr. Burns turning into Howard Hughes in "$pringfield (or How I Learned to Stop Worrying and Love Legalized Gambling)". The other is "King Homer" from THOH III if for no other reason than hearing Smithers say "women and seaman don't mix."

what episode had the sopranos parody?

I believe it's Poppa's got a brand bew badge when Homer takes over Chief Wiggum's job with his "SpringShield" crime stopping program.

No love for the parody of Cape Fear where Bart tricked Sideshow Bob by having him sing "HMS Pinafore" in its entirety?

"It doesn't mean 'die Bart, die', it's German for 'the Bart, the'" is one of my all-time favorite Simpsons moments...

"I will send you to heaven before I sent you to hell!"

The Cape Fear parody is a great one. I have to throw my vote behind another one that's been mentioned before. Although it's only shown briefly, Planet of the Apes the Musical is hysterical.