I think I say that about every Alekhine game I play through. All of them are so enjoyable and instructive. Anyway, I really like this one because I think it's incredibly illustrative.
For the opening and early middlegame, Alekhine plays the position pretty much like normal, nothing earth shattering here. But the game really picks up with 14.Qe3. White intends to capture and win the c5 pawn, but it doesn't seem like he notices black's newly created tactical threat of skewering the queen and rook with the dark-squared bishop. Alekhine immediately pounces on the idea, which white parries, but then Alekhine uses the weaknesses created by stopping the threat to launch an unstoppable kingside attack. I just love how he uses a tactic not to win material, but to create a winning plan. And of course once Alekhine gets the initiative, it's game over. The final exchange sac is a nice way to cap it all off.
Also very instructive the way he didn't unnecessarily commit his king. Just a great game overall.
To top it all off, this game is one of four played as a clock simul. What a stud.
Tselikov-Alekhine, Moscow 1915, 0-1