First of all, I am quite perturbed by the '5-year-old' route this thread took half-way through. Disagreement is a mark of maturity, but name-calling is inexcusable. I think it is quite important to have favorites. In a way, they help to define you. It is something I think about often.
My favorite piece of music is Mahler's 9th Symphony. Leonard Bernstein remarked in his famous Norton Lectures at Harvard that he thinks it is the closest Art has come to mirroring Death. The First movement is a never-ending sea of painful goodbyes, bringing enlightenment to the significance of a single sigh. The second movement is equally painful in its marked realization of life's circus act (I am reminded of Beethoven's death-bed words "Applaud, friends, the comedy is over"). The third movement, the manic, hysterical scherzo. The last movement, life's final goodbye, death. Mahler's 9th symphony is so real as to be a living, breathing entity. It fills me with hope and life every time I hear its painful cries of goodbye.
Thanks for asking!