I have an answer if anyone asks me my favorite band/artist, but I definitely don't have a favorite song or album.
I ask you.
R.E.M. for sure. The trilogy of Automatic for the People, Murmur, and Reckoning just never gets old for me. They all have their own distinctive sounds and moods to offer, not to mention a bunch of great songs. I've been through all sorts of things with them. Reckoning is one of my most popular 'driving around running errands' albums, just the way it fills up the space of the car so well. The moment Michael Stipe comes in with his half mumbled voice and oblique lyrics, and that amazing guitar lick, I know I could be anywhere and it would hit me the same way every time. Automatic is my nighttime album, one I usually reserve for walking the dog late at night after its been dark for at least an hour. Murmur is one I can play almost anywhere, and judging by the way my cat reacts to it, its one of her all time favorites as well. Those three aside, New Adventures in Hi-Fi, Monster, and Life's Rich Pageant are also pretty kick ass, although I don't have as many memories attached to them as I do the first three.