Season 1 Broken Heart
My heart was broken in Season 1 when they didn't find the Saxon ship burial. They were standing right on top of it! I don't think it would've gutted me and other fans like it did if the opening credits theme song wasn't sung from the POV of the treasure with the really cool visuals below the ground to accompany. We are always aware exactly where it is, so we root for Andy and Lance to find it too.
I have to give credit to Mackenzie Crook for making what was probably the harder decision to not do what was expected. It would've changed the whole trajectory of the characters' lives and the series itself if they had. I did seek out the Netflix movie The Dig to get my Saxon ship burial fix though. It helped a little bit.