For me, every day is a day to finish a meal with a decent (VSOP level) cognac, but for special occasions I like something better. I've never tasted an XO that I thought was worth the money, but Martell Cordon Bleu, at around $100 a bottle, is an ethereal delight!
I made a great discovery not long ago at my local liquor store - they had a box of 50 ml nips of Cordon Bleu at the counter, where they would usually have a box of nips of the latest trendy peppermint schnapps or some such. I have no idea where they got it (fell off the back of an airplane - first class section?), but at $5 per, it added up to $75 for the equivalent of a standard 750 ml bottle - a super deal! I bought all they had and just smiled when the clerk gave me this look...
I've also heard good things about Delamain Vespers, which is in the same price range.
Any other cognac connoisseurs have a special favorite?