I have a lot of favorite covers, and here are some of them:

Jimi Hendrix: All Along the Watchtower (Bob Dylan), Born Under a Bad Sign (Albert King), Catfish Blues (Robert Petway), Hey Joe (The Leaves)
Carlos Santana: Oye Como Va (Tito Puente)
Stevie Ray Vaughn: Voodoo Child - Slight Return (Jimi Hendrix), Texas Flood (Larry Davis)
Eric Clapton: Layla (Derek & the Dominos), Walkin' Blues (Robert Johnson), It Hurts Me Too (Elmore James), Hard Times (Ray Charles)
Jeff Healey: While My Guitar Gently Weeps (Beatles), Angel Eyes (John Hiatt)

Creedence Clearwater Revival: I Heard It Through the Grapevine (Gladys Knight and the Pips), Midnight Special (Leadbelly), I Put a Spell on You (Jay Hawkins), Susie Q (Dale Hawkins)
Chicago (CTA): I'm a Man (The Spencer Davis Group)
Crosby, Stills, Nash & Young: Woodstock (Joni Mitchell)
Deep Purple: Hush (Joe South)
The Who: Summertime Blues (Eddie Cochran)
Frijid Pink: House of the Rising Sun (Texas Alexander) (psychedelic bliss!)
Rare Earth: I Know I'm Losing You (The Temptations)

I have at least a dozen or two more favorites, but this covers (no pun intended!) many of them.