Childish as it is, my favorite part has to be the very ominous BANG BANG noise. x3 On a more mature note, there is just one thing to be said about this series- wow.
I have not been following Law & Order; Criminal Intent from the start, as some have, but I was addicted on my first episode. D'Onofrio's acting and behaviour is extremely entertaining, he just seems very THERE.
As well, I find the attempt to understand "why" more interesting then, say, CSI, where the majority of the time is spent trying to figure out who committed some gruesome murder. This series attempts to give a twist at the end of the episode. However, it often ends with lines or a scene that make you feel that the episode is unfinished.