I think one of the best acceptance speeches I've seen at the history of the Emmy's was Rue McClanahan's speech when she won for The Golden Girls. I liked that she was able to take her sweet time giving her speech (I believe her speech was almost 3 minutes long). It was funny, energetic, and I believe one of the best of all times.
I have to go with Tina Fey when she won for Lead Actress, and how she admitted her character was very similar to Julia Louis Dreyfuss's and Dreyfuss's faux reaction to that. It was all just perfect. I still watch it from time to time.