Never been much of a fan. I have 5-6 of their albums because I keep finding them used for $4.
I dunno about a favorite song, but I absolutely love the acoustic cut of Pop Song '89 off the rarities disc of In Time. I think that song sports some of their finest lyrics:
'Hello, I saw you - I know you - I knew you
think I can remember your name'
'Hello, my friend, are you visible today?'
Love it.