The fun things about his tours are that he generally hits really REALLY small bars/venues on nights off. He shows up and does an impromptu gig - they are the best, because they're where his heart is. He loves the small stuff, but he knows he makes his living on the bigger gigs.
In any case, I do believe my favourite is "Small Change," because the ballads are amazing and the other stuff is edgy. More-so than other albums, I believe. But you're right. Choosing one is tough.