Magic Kingdom without a doubt is far and away the best opening show! There is nothing else that injects that Disney feeling into your body and soul like the opening of Magic Kingdom! I tell everyone going for the first time to make sure you are there to see it. They make it feel like your day at the Magic Kingdom is really special. I've also seen Epcot's and MGM's but not Animal Kingdoms.
I have to also agree that just being in the parks when it is so empty is a really neat experience. We always are the first to arrive and we get in so many attractions in such a short amount of time. We can literally do all of Fantasyland before there are even lines. We also slow down and grab some breakfast at the Main Street bakery or from a fruit stand and find a nice sunny spot to enjoy ourselves. It's so quiet that you can clearly hear all the area background music and sound effects playing. I love early mornings in the parks and trust me......we are NOT morning people normally. Only Disney World gets us up early in the morning and happy about it.