For lyrical, my favorite is "What I'm Made Of". I really have no idea why, I just really like it.
For Genesis era, it would have to be Wacky Workbench Bad future from the JP soundtrack, the tense feeling and the hype from the siren and bass line always get me.
For dreamcast era (Going by Generations logic here, so it is counted as an era) it would be Mechanical Resonance... for Final Egg. It's got a great beat and I just love the guitar riff and laid back feeling in the song.
And for Modern Era, it would have to be Asteroid Coaster Act 2. Great guitar riff, upbeat, somewhat tense... I love it.
Overall though, my favorite would be Wacky Workbench Bad Future JP.