There are two Animal Man trades, Dan. The third one is just about as perfect as superhero comics get, but the first one contains my favorite Morrison story ever (being, naturally, Coyote Gospel.)
AA didn't do much for me, really, for the same reasons Dan mentioned. His JLA run gave way to The Authority and all those other "widescreen" comics. The art was anywhere from okay to terrible, but the Rock of Ages storyline is just about the most insane a flagship title has gotten.
Kill Your Boyfriend is one of the best graphic novels ever published, easy as that. Bond and Morrison create uncanny magic when they team up. Out of print, but worth tracking down.
Doom Patrol and Flex Mentallo have not, and possibly will never get the TPB treatment (save for the first few stories) but this, along with Animal Man, was what really put Grant on the map. Totally surreal, Vertigo before there was a Vertigo. Grant was taking a great deal of drugs while he was writing this, and the payoff is great.
Haven't read Zenith (it's not the easiest thing to come by) but I've heard this is quite good as well.
Aztek, all ten issues, is one of the most underappreciated series of all time. Get the singles, they shouldn't cost too terribly much.
His run on The Flash with Mark Millar was above average, but nothing to really write home about.
St. Swithins Day is a fun little anarchist story, but I didn't like it as much as Kill Your Boyfriend. Still worth picking up.
Sebastian O is another okay story, but not worth giving yourself an migrane trying to find.
And then there's The Mystery Play, which flat out sucks.
Aside from The New Adventures of Hitler, which is easiest to just read online, that's all I can think of for the moment.