The Hooper's-death episode made a big impression on me when I was 3 years old -- it was actually the first frank discussion of death that I can remember being party to. The part where [if I recall correctly] Gordon and Olivia help Big Bird understand that 'Mr Looper' is not coming back is seared into my mind. How Spinney managed to convey so much emotion with only voice and body language is a marvel. I also clearly recall identifying with Big Bird's attachment to his teddy bear 'Radar.'
One great example at how good he was at conveying emotion with Big Bird was when Big Bird had a guest appearance on The West Wing. Didn't say a word, and the scene lasted all of about ten seconds, but was still hilarious.
