I had my head shaved during their MSG concert back in 2003. You can see my head at the end of the DVD when they were covering Baba O' Reilly. Pearl Jam Concert Setlist at Madison Square Garden, New York on July 8, 2003 | setlist.fm
I cannot pick my favorite song though.
My favorite Eddie (sans PJ) song has to be:
EDDIE VEDDER / RAHAT FATEH ALI KHAN - THE FACE OF LOVE - YouTube