Baron Munchhausen was one of my favorites, as was Fisher King, which got Robin Williams nominated for an Oscar. Recommended. I liked Time Bandits, mostly because it was just plain fun. Gilliam's work can have a lot of Pythonesque "randomness" to it, and most of his early stuff falls into that category.

I haven't seen several of his films, like Tideland, or Imaginarium of Dr. Parnassus, although I've got the DVD for the latter one sitting around here.

Dang. Just used Google Earth to land myself in New York next to the building they used in Fisher King for that castle place, and it's being restored or something. All covered in netting and crap.