My favorite song of theirs is tough, but would probably have to be Damage, Inc
I really like all Metallica's stuff except for anything on St. Anger...that one just sounds like people making noise on instruments.
My all-time favorite bands:
1. Pantera - best live show I've ever been to...ever
2. Metallica - awesome live as well
3. Megadeth - I almost got crushed up against the stage at this one. Got Marty Friedman's autograph
4. White/Rob Zombie - crazy show, lots of props and generally weird Rob Zombie stuff
5. Slayer - never seen them live