I don't have a favorite permanently but right now it's O Holey Night (a parody) by Ministry of Magic. It's about George loosing his ear in Deathly Hallows.
www.myspace.com/ministryofmagicmusic
I'm going to see them this Saturday, I hope they play it because it's so close to Christmas.

I do, however, have a favorite album. My family has been playing the same CD at Christmas time since we got it in something like 1997. It's A Very Special Christmas 3. It's like one of those Now CDs where a new one comes out every year, I think.
http://www.amazon.com/Very-Special-C.../dp/B000002GOJ

It's forever ingrained in my brain as synonymous with Christmas.