There are lots of cool insides of stations that have been mentioned, but as far as station buildings go I don't think you can beat Lightning Racer at Hershey. It's gorgeous to look at!
FOr those who haven't seen it, check this out:
http://www.ridezone.com/oprides/coasters/lightningracer/lrstation.htm The Schoolhouse that is the Legend's station is really cool, especially when they ring the bell before a dispatch. Speaking of Holiday World, the House that the Raven loads in is cool looking from the outside.
-Peabody