The wife and I each gave a shiur over Yom Tov - the same shiur, more or less, in fact. It's an expansion of this. I generally don't stay up all night anymore. Maybe when the kids are older (more on that below). I made sure to give the shiur at a time that I could still get a decent night's sleep. I had the 12:40- 1:25 am slot. It went very well - there were a lot more people than I expected (I printed 20 source sheets, and there was not even enought for people to double up). The problem was, I got so jacked up on caffeine before the shiur that I could not fall asleep afterward.
My favorite Shavu'ot memory: I must have been 10 or 11. My father and I were learning mishnayot in the wee hours on Shavu'ot morning, in the basement of the shtiebl on Park Heights Avenue, AC on full blast, soda and chips in reach. We got up to the following mishna (Bekhorot 5:3):
One some children were playing in a field, and they tied the tails of two lambs together, and the tail of one of them was disconnected - and it was a firstborn. The incident came before the sages, and they permitted it. They went and tied the tails of other firstborns, and they forbade it...I remember poring over the books, trying to figure out (er, make heads and tails?) out of the text, and then we get to this little anecdote, and we just lost it. We probably laughed for 10 minutes, imagining these kids tying the tails of sheep together. So what's your 'all time favorite mishna'?