2. "What If... the Avengers Assembled in 1602?" (Season 2, episode 8)
We know that What If...? likes to bring its storylines together as it nears each of its seasons' conclusions, so you can bet that the eighth episode of season 2 was a thrill-ride. In fact, it brought things together so well that it could have served as the season finale, and I really wouldn't have minded.
A direct sequel to the fifth episode, "What If... the Avengers Assembled in 1602?" catches us up with Captain Carter, who has now found herself in 1602... but with Avengers. Timelines have merged for some reason, and she's the one that the Scarlet Witch, a.k.a. Wanda-Merlin, believes has the answers to solving the problem that threatens to destroy their world. A world that also includes Queen Hela, a Hulk Happy Hogan, and a very Infinity War-esque Steve Rogers.
From recognizable remnants of the MCU to recognizable remnants of What If...?'s own second season, this one truly felt like a finale, particularly because Peggy began communicating with The Watcher again - who had done little else but watch for the majority of the season. The stakes remain high throughout it, which aid in that finale feeling a great deal, and the emotional arc between Peggy and this version of Steve made for a bittersweet outcome.
All in all, "What If... the Avengers Assembled in 1602?" sets the stage for the finale beautifully, but it also would have served nicely as the finale itself.