I can't decide between Prisoner of Azkaban and Goblet of Fire.

Prisoner of Azkaban started developing the events of the night the Potters were murdered and giving us insight on their generation at Hogwarts as well as introduced some of the most interesting concepts, such as time travel, magical creatures and of course werewolves.
And of course, Lupin, the best DADA teacher in Harry's generation and who deserved better.

Goblet of Fire was of course the first major turning point, the return of Voldemort, the true first escape from Azkaban not, in fact being Sirius but Barty Crouch Jr, introduced us to other magic schools and gave us the first real insight into House Elves.

Half Blood Prince is at the top tier as well for the Voldemort and Gaunt backstories.