I would love to see how an oil rig in the Gulf of Mexico is constructed. I found a picture on Google Earth and it intrigued my curiosity!
http://www.panoramio.com/photo/2527793
This thing is cool!!!!

It wasn't in the gulf; but there were a couple of episodes on SC to quench your thirst. I think one was Colossal Construction. Where they built the structure from the ground up ... then made the heaviest lift in history raising the platform on top of the supports. Very cool ... it was a while ago, I'm sure it will repeat.

I'd like to see how they transform indoor arena's from a basketball court to a football field to an ice hockey to a motocross track.