I haven't read everything by him (yet), but recently I read "We 3" on the plane to Vienna, and I loved it. He always works with amazing illustrators too which, for me, allows an almost complete sensory immersion that I love in any kind of art or literature.
GM is a brilliant writer who gives an amalgamated perspective of the world. Reading his work is like walking through a collection of the occult and alternative science work of the last 50 years. Doom Patrol, The Invisibles and The Filth are fantastic.