There isn't a lot of media out there in any form where I would be tempted to choose a favorite, but I genuinely love the song "Under Pressure" by Queen. It's plaintive cry for love and compassion in a world of cynicism and apathy means more to me every day. (Plus, the video has the rat-bat-spider in it!)
On the flip side of the coin, loneliness, I think the Statler Brothers' "Flowers on the Wall" is a phenomenal song. A song whose appeal crosses generations.