This paper presents a novel method of favorite music classification using EEG-based optimal audio features. To select audio features related to user's music preference, our method utilizes a relationship between EEG features obtained from the user's EEG signals during listening to music and their corresponding audio features since EEG signals of human reflect his/her music preference. Specifically, cross-loadings, whose components denote the degree of the relationship, are calculated based on Kernel Discriminative Locality Preserving Canonical Correlation Analysis (KDLPCCA) which is newly derived in the proposed method. In contrast with standard CCA, KDLPCCA can consider (1) non-linear correlation, (2) class information and (3) local structures of input EEG and audio features, simultaneously. Therefore, KDLPCCA-based cross-loadings can reflect best correlation between the user's EEG and corresponding audio signals. Then an optimal set of audio features related to his/her music preference can be obtained by employing the crossloadings as novel criteria for feature selection. Consequently, our method realizes favorite music classification successfully by using the EEG-based optimal audio features.