Well, currently my favorite Vocaloids are YOHIOloid and Macne Nana! My favorite song from Nana is actually a cover, Nana Nana Fever Miracle Tonight (Originally a Haruka Nana, who is an UTAU, song) and my favorite by YOHIOloid is a tie between his cover of Primadonna, his cover of the SNK Theme Song, or NeapolitaN.
IA - "A Tale of Six Trillion Years and One Night"
Kagamine Len - "Migikata no Chou"
Gumi - "Mermaid"
Megurine Luka - "7days"
SF -A2 Miki - .....
KAITO - "Judgement of Corruption"
IA: Akatsuki no hana
Merli and lapis: kokoro (cover)
Aoki lapis: think the future
Hatsune miku: last night, good night
Kaai yuki: rugrats theory, and calallini
Seeu: falling rain
Lily: scarlet rose
Kaai Yuki; Happy Drug
Nekomura Iroha; Lost One's Weeping
Utatane Piko; Song Catastrophe/ozaik Role/Amulet
CUL; Wave
Len; Drowning in a wave of sadness/Streaming Heart/Amulet
Gakupo; Rolling Girl