I've always liked songs with 'good' lyrics - something meaningful or which makes you think. I studied poetry in my English Literature A-level and also as a module at university, so I appreciate a good lyric. Not always, sometimes lyrics don't need to be particular profound.
Probably my favorite is Priest's Beyond the Realms of Death. Then, I also like Saint Vitus' The Psychopath because of how it slowly builds tension and works with the instrumental to tell the story. Similar to Nick Cave's Song of Joy in that respect IMO, as that leaves little clues as the song progresses that the narrator is the murderer.