It's difficult to choose one musical piece as my favourite, so I will cheat a little and name a whole musical with multiple awesome songs!^^
My alltime favourite musical is "Dance of the vampires", or "Tanz der Vampire" in German. I saw it first when I was 13 years old and have seen it countless times ever since. :) It is based on the movie of the same name but is so much better in my opinion. I actually don't even like the movie...^^"
There are basically several stories told, one about Sarah, the young woman who wants to be free and make her own decisions; Alfred, who falls in love with Sarah and is ready to fight for her; the Professor, who wants to prove that his life's work is not just a fantasy and the Count, who wants Sarah for himself. There are moments when you laugh with the characters, when you fear for them and even some when you weep with them.
I know every song by heart from the first line to the last and everytime the musical is featured in my city, I try to go there at least once.

In my opinion, music is a great way to learn languages, as the melody transports a lot of meaning already and it will be easier to remember things, if you can think of the catchy tune you learned them from.