There's no way I can figure out what scene is the best. But I do want to point out a clever trick. The shot where Max and Ms. Cross are feeding the fish, discussing his "saving" of Latin, they are moving along and the camera is outside the classroom, but fairly close up to them. When Ms. Cross says "My husband went here" and max drops the fish food. Right after that there is a big thing between them. The actual building. But what it is isn't important. It's genius because once she says that, something is between them, so Anderson puts something between them - literally.
Another genius bit of writing is at the very end. Ms. Cross and Max are talking about the play Heaven and Hell. But they're also talking about the whole film Rushmore really. She says "well, you pulled it off," referring literally to the play they just saw; but also referring to his whole adolescence really. Then he says "at least nobody got hurt." To which she replies "except you." She means the cut on his forehead from getting bashed by the gun, but it could be taken to mean how Max was hurt by unrequited love and betrayal from friends through the course of the film.
ok, so i'll break down and make a favorite list
1 - "What's the secret Max? You seem to have it pretty figured out."
2 - "One dead fingernail." "Right. One dead fingernail."
3 - "You were a real jerk to me, you know that?"
4 - "I'll give you 25 hundred." "Okay."
5 - "And that's all you're willing to spend?"