In my opinion, his best time was early 80s to early 90s. I don't know if there's an artist who has had a better three album run than Various Positions --> I'm Your Man --> The Future.
Personally, I think I'm Your Man is his best album, but it has a really 80s sound, so if you're not into that it probably will annoy you. His early stuff is very folk music inspired. Also good, but not what gets me the most.