When I saw them live, the songs that really gave me chills, and still do whenever I hear them and think back to that, are "Everybody Say YEAH!", "Shoujo S" and "SCANDAL BABY". "Shoujo S" is sort of my personal thing because the video was the first time I ever actually saw them, so when I saw them do the choreography in person it REALLY made me smile like a goofball. The other two songs just felt like such a connection between them and us in the crowd, it was like the crowd was a fifth member of the band.
If there's a song whose lyrics touched me in some way, I'd say that's "Shining Sun". It's not a ballad (which I usually find kind of sappy) but the lyrics describe a really complex and realistic emotion, and it just sounds so earnest. My favorite version of it is on the Temptation Box Tour DVD, which is superior to the recorded version IMO and is also more emotional (it's also better than they performed it at Osaka-jo Hall).