My favorite band of all time is the Grateful Dead.
This has been true off and on for over 40 years. I have had many side trips, off into Punk Rock, Jazz, Hip Hop, and even some Latin music. In fact, i would say the runners- up are Miles Davis, The Cure, and Snoop Doggy Dog.
Since they released all 22 shows from their Europe '72 tour back in November 2011, though, I have been in full-on Born Again Dead Head mode. Hey they are my ears so I listen to what I want!
The reason I like them so much is, in general they combine several genres of music: blues, rock, country, and jazz. And specifically, I love the jams. The longer the better!
Although there are many others, ultimately we can have only one favorite, and the Grateful Dead is mine!