Well, I think his best performance was in 8mm. Brilliant movie, and often gets forgotten in favor of his lighter roles.
That being said, my favorite is Con Air. It's ostensibly an action movie, and has that 80s action movie vibe, but all the scenery chewing him and Malkovitch do takes it to new heights of hilarity at times. They both over acted so hard it went beyond silly and into epic. It is absolutely the most fun movie he has ever done, including Raising Arizona, which I love too.