I love it, too. The flashback, the "aha!" moment when you look back at it 15 episodes later and learn what really happened that day, the meaning behind the words, even the subtle hints at Touga's backstory when he's in no hurry to get back. I also liked the interesting dynamic between Saionji and Utena, all "we're enemies but wtf is going on here we both want to get Anthy back".

And the hand grab when Utena pulls Anthy from the coffin...actually, that whole scene is such excellent foreshadowing to the final episode.