For most lyrically brilliant I'd say The Fly. The song supposedly tells the conversation between a man caught in limbo and the devil. It takes place on a pay phone on a city street.
For biggest personal message, it's definitely a tie between One and Walk On, possibly Ciy of Blinding Lights. City is all about raw ignorance and innocence and not being able to see the real, big picture yet, such was the journey to cities like NY and London when the boys were early in their careers. And when I've heard many different background stories for One, the one that surfaces mostly is that it's about a boy in Africa who is writing a letter to his father, who is dying of AIDs. And Walk On is obviously for Aung San Suu Kyi (sp?).