I don't have favorite but i do like Rhapsody in Blue like Neon Duke. Another good classical is Marche Slave performed by the Gothenburg Symphony orchestra and Rakozcy March by Liszt.
but as far as Rock i Like a version of Johnny B. Goode by Jimi Hendrix. Also by Hendrix i like Hey Joe, Foxey lady, Catfish Blues, and many, many more, by Zeppelin i like the Live at the BBC version of Black Dog and Stairway to Heaven (first time they played it in front of an audience), Umm i also like Creedence Clearwater Revival (CCR), Definatly all Beatle songs and Paul Mcartney songs, in particular by the beatles i like Everybody's Trying to be My Baby (my life story... he said sarcastically), Kansas City, and Mother Natures Son, and i could go on forever but i'm a horribly slow typer so i'll stop.
BTW i'm 14 and i like no new music...i won't go into why.