Oh, thats a tough one. But after some thinking I have to say Pink Floyd.
Genesis, Toto and Simple Minds is up there as well..
Anyways for a long time The Police were my favorite band of all time. I bought their Message in a Box boxset, not once, but twice because someone stole my original set. I just love Sting's vocals. I love the energy of the music. Like just about all of the Beatles catalog, just about every Police song shines..., by this I mean that there's not a song I can think of that I'd skip past to get to the next. Their early stuff is a bit more raw and punk rock sounding... sort of reminiscent of early Clash, and lyrically they're just whacked... really dark and funny stuff.
BUT..... I think I'm moving away from The Police as my favorite band anymore, and now I think The Sisters of Mercy are my favorite. Have been for awhile now actually. They've only ever had 3 real albums and a couple compilations that included some early stuff, and everyone loves to hate Andrew Eldritch, the front man and pretty much sole member of the band anymore, but their music has like a drug like effect on me. I love it and can play their albums repeatedly.