There are _way_ too many great footballers to pick out one "favorite". Can't do, sorry. However, since we were already talking about Panenka penalties, here's a video of the famous Cruyff penalty. It also demonstrates two things that helped Cruyff becoming one of the very best: his ability of thinking out of the box (and coming up with ideas and tactics that no one else would have considered), and a certain joy in dominating through superior skill.
Soccer fans will already know this one, of course. :)
Cruyff penalty Also, I fully realize that I will probably be killed by fellow German fans for answering the question with a link to a dutch footballer. But let's face it, he was much more skilled than any of ours ... he just never managed to win the world cup.