I've only seen two of his plays, they were both terrific.
The first was "True West", with John Malkovich cast as one of the brothers, I believe Shepard portrays the other.
I don't remember the name of the other play, perhaps you might.
A middle-aged man (also played by Shepard) is travelling cross-country to take care of some unfinished business with his ex-wife. He meets a young woman on the train and has a one-night stand with her. When he gets to his wife's place, he learns the girl he had the affair with is his daughter.
Mr Shepard was a competent actor, but a superb playwright. He will be missed.