I first started listening to Bowie when Ziggy Stardust came out in 1972. So I have lots of old favorites.
My favorites these days are Blackstar and Lazarus, off the Blackstar album (Bowie's last release before his death). Bowie started recording the music in early 2015, while he was being treated for liver cancer. He did the videos for Blackstar and Lazarus in September and November 2015. Apparently midway through the filming of the Lazarus video the decision was made that the cancer treatment wasn't helping, and they stopped treatment. The album was released to the public on Jan 8, 2016, and Bowie died two days later. Bowie said that the album was intended as a swan song and a parting gift to his fans before his death.
The following is just my interpretation, of course:
The Blackstar video is kind of a story of the stages of life. Bowie appears as three different characters: A sightless, terrified character in the beginning (blindness is a traditional symbol for castration), then two sighted characters signifying how he grew beyond the stage of fear and castration. The song ends with women gathered to perform a castration ceremony on three men on crucifixes in a field. Thus the song becomes kind of a circular fertility cycle thing: Death and dismemberment (castration) leading to rebirth and growth.
One of the features of the Blackstar video is the bejeweled skull of Major Tom the astronaut, from the past hit song "Space Oddity." Major Tom's body appears at the start, and his skull becomes part of the castration ceremony. (Again, both beheading and blindness are traditional symbols for castration.)
Then in the Lazarus video, there is a death scene in a hospital room. The sightless character and one of the sighted characters are carried over from the Blackstar video, as well as one of the women and the skull of Major Tom (if you look closely, it appears briefly on the writing desk at 3:38, just before the sighted character sees the woman under the desk). The woman signifies Death now: She appears out of a closet that looks like a coffin, and she floats around the room and appears at the edges of the frames while the two men try to fend her off and kind of sing a duet. But by the end of the song, the woman wins out: She sends the sighted man to the closet that looks like a coffin, and the sightless character and the woman hold out their arms to each other (she's in the bottom of the frame) while the sightless character sings about how he'll be free (presumably freed by death). Kind of a claustrophobic, spooky little song. But again, the title "Lazarus" is a biblical reference signifying resurrection and rebirth, hence a cycle.