I practically live in the Psalms. I have the Bible on CD and, generally speaking, I listen to the Psalms every morning as I'm driving to work and even on non-work days. Although I find great comfort in them in that my own life has pretty much been a life of trials and betrayals and many Psalms deal with the same, I'd have to say that my favorite Psalm is Psalm 2 in that it prophetically told of Jesus' rejection, crucifixion, resurrection from the dead and His second coming during which He will rule over the earth. Yeah, I can never get enough of JESUS!
"And he said unto them, These are the words which I spake unto you, while I was yet with you, that all things must be fulfilled, which were written in the law of Moses, and in the prophets, and in the psalms, concerning me. Then opened he their understanding, that they might understand the scriptures, And said unto them, Thus it is written, and thus it behoved Christ to suffer, and to rise from the dead the third day: And that repentance and remission of sins should be preached in his name among all nations, beginning at Jerusalem." (Luke 24:44-47)