I sort of hit a blank here. I have a huge range of songs I love, and I tend to change my mind a lot depending on what mood I am in. I do have a huge love for song lyrics which tell a story, even if it is only half hinted at, like Once In A Lifetime. I have loved Hazard since I was young for similar reasons. Other mentions should go to China In Your Hand (which is based on Frankinstein), Shalott (which is about the Lady of Shalott), and It's All Coming Back To Me (which is about Wuthering Heights).
I also adore the opening sequence of Ian McKellan's Richard III, just for the awesome jazz version of Come Live With Me and Be My Love. I wish someone would do this with more classic poetry.