I think I like "Last Night I Nearly Died" the most personally, because it's the first song on his first CD, so it's the one I most associate with his sound.
Overall, "Freewheel" is the big hit for a reason, I think- it's the blend of his more eccentric style and orchestration with his most mainstream tendencies. But my personal favorites are "Salvation Tambourine" and "Diggin' An Early Grave." Not many people could combine the genres of klezmer, 90s-style alt pop and Halloween music successfully in a single song.