I think The Invisibles is generally great, but it takes a while to get going. I feel like it finds its feet in the issues collected in the second TPB, Apocalipstick, not least because of the increased focus on Lord Fanny, probably the most likeable character in it. (Notably, Morrison writes Fanny almost identically to how he writes Emma Frost in his X-Men run.)
The Filth is more focused and consistent, mind you, but The Invisibles is a big, mad, crazy quilt of a saga.
As for Morrison's best work... We3? All-Star Superman #10?