I think my favorite is "Ebony and Ivory". It is a tough choice because I love each of them for a different reason. I love "Band on the Run" and "Silly Love Songs" mostly for those natural scenes where he's playing around, not minding the camera. I love "Mull of Kintyre" because of the landscapes, "My Brave Face" because of the flashbacks, "Pipes of Peace" for the peace scenes... I even like "We All Stand Together" because it's so funny. I don't really like "Coming Up". I'm not sure why. Maybe it's just too much show-off to my taste. That's what's so fascinating about Paul - there are so many different sides of him.
By the way, I don't think I ever saw the videoclip of "This One", except one time, which I vaguely remember, about 15 years ago. I'm trying to download it at KaZaA but no success yet.