"A Pinky and the Brain Christmas" rightfully won an Emmy for "Outstanding Animated Program" 1996.
Pinky in "Welcome to the Jungle": When Brain finds his techno savvy genius useless in the underdeveloped wilds of the jungle Pinky takes charge of the situation through his adaptability.
Near the end, though, Brain steals the show when he breaks the ropes binding him, then proceeds to school Snowball in a fight and wraps it all up by rescuing Pinky.
Brain shows his inner Trickster Archetype in "Brain of the Future" when the two are taken prisoner by a race of humanoid cockroaches. Brain bets the queen he he can hold more in his two arms than her two guards can hold in their combined twelve, and if he's right, she'll let them go. She accepts his challenge, and of course, there's no way he can top the mountain of stuff the guards end up holding... but now that they've got their hands full, he's free to grab the MacGuffin and escape! Classic! El-ahrairah and Br'er Rabbit would be so proud.
Some of Brain's plots are actually amazingly elaborate in hindsight. In one instance, he and Pinky actually create an exact duplicate of Earth (and inadvertantly save its entire population in the process when a meteor hits the original).
The robot army in "The Brain's Apprentice".
"Star Warners". All of it.
In one comic book adaptation, Brain and Pinky wind up in an alternate universe where everyone has super-powers, including their counterparts in that universe, who are both villains. Alt-Pinky turns out to be a cunning foe and is smart enough to outwit Brain, due mainly to having the power to read minds. Pinky Prime bets that Alt-Pinky can't read Prime-Pinky's mind. Alt-Pinky takes the challenge, then promptly falls to the floor in a fetal position, since Pinky was thinking what he's always thinking: Nothing.
Pinky saving Brain from the avalanche in "This Old Mouse," refusing to listen when Brain tells him it's hopeless — they've seen the future, and You Can't Fight Fate. Screw Destiny, he's saving his friend! His actions give Brain all his hope back, making him see that the future is truly what you make it.