I loved Emirikol the Chaotic, by David Trampier I believe, p. 193, 1st ed. DMG. I know many others loved this one as well.
I was going to say PHB 1st ed. with the lizards and the idol, also, but someone beat me to it.
Someone mentioned A Paladin in Hell already, but this one has a very special meaning for me. You see, in later printings/editions of the PHB, the title "A Paladin in Hell" was removed from the bottom of the picture. To me, this marked the beginning of the horribly misguided slide of TSR. Soon after, demons and devils were removed from the game. In the late 90's, when I saw a module on the shelves titled A Paladin in Hell, I knew that the long dark age of D&D was over and my favorite game was regaining its soul. My heart leapt, I kid you not.
I also really enjoyed the art for the very late 2e boxed set Return to the Tomb of Horrors. Throughout the module, there are pictures of the same party members battling the horrors. I love the story the series of pictures tells.
I loved the 1e MM troll (is that the first time a troll was ever drawn that way, btw? Because it sure has stuck since then).
And, finally, I have a certain fondness for the naked succubus by Darlene Pekul, I believe, on p. 230 of the 1e DMG. What's she thinking about? She looks ashamed, and that's not the sort of emotion one normally associates with succubi. Good stuff. Love Gygax's "Afterword" above that picture too.