MITM is the best concert closer, definitely. He always put so much power in this performance and you could clearly see it. And the live-adlibs are EPIC!
Bad is also nice, but a bit too boring as a concert closer IMO.
HIStory is also nice, but in comparison to MITM it's a weak performance. The song is fully playback and there's not even a single ad-lib sung live. Michael surely put much emotions in this song too, but it's not very visible.