Which one is correct, "favourite song of all time" or "... of all times"?
I would say "of all time" because it means "from every time".
Saying "of all times" is certainly not incorrect, however, it just sounds awkward.
Check out Google's ngram viewer to see which is more popular:
And it appears "of all time" is more popular.
It's a good question about which is more grammatically correct, but the first is a common (cliched) way of phrasing it, so it is more likely to sound correct to a native English speaker, at least in the US. The second version just doesn't sound right.