Funny how so many people pick tiny dancer - it is off his Madman Across the Water album, by far his best. I am a huge EJ fan (I named my daughter after one of his songs). I don't have a single favorite, but I could listen to the Madman album over and over again. I would highly recommend it.
Some other great gems of his are:
High Flying Bird
Daniel
Blues for Baby and Me
Someone Saved My Life Tonight
Razor Face
Come Down in Time
Country Comfort
Border Song
Bad Side of the Moon
Funeral For a Friend
I've Seen that Movie too
Harmony
Mona Lisas And Mad Hatters