So, I will caveat that it is particularly that live version. The studio version is great too but I love that performance. And I tend to give live albums short shrift, and only buy them in rare occasions; so it's seldom I'll reference a live anything as my favorite.
Studio - it's difficult 'cause I have different reasons to appreciate different songs. For example, I love the song SOTT b/c it showcases Prince's use of the Fairlight and every time I hear it opening I'm struck by it. Other songs, like When Doves Cry, that also showcase innovations in recording and songwriting (no bass line, looped vocals, Linn M-1). There are songs that make me giddy - the keyboard on Delirious. Songs on Dirty Mind capture me because it's the evolution of a sound - hearing the way he used keyboard/synth parts to replace parts that would normally be reserved for horns, in developing the Minneapolis funk sound. Straight fun - Housequake, Sexy MF, My Name Is Prince, Batdance
If I'm going straight studio feels - then it's Beautiful Ones. That wailing climaxing in his falsetto when he is challenging his interest to make a choice...
"Do you want him?
Or do you want me?"