I personally enjoyed all of Kay's stuff that I read on some level, some more than others (I believe I've read everything of his aside from The Fionavar Tapestry, Tigana, and Ysabel). My personal favorites are The Sarantine Mosaic and Under Heaven and River of Stars. The latter two mainly because the setting is a pseudo-Ancient China, which is fairly uncommon in fantasy, and I'm really into that culture/history and such. A lot of people laud him for his prose, which I would somewhat agree with, although it began to feel somewhat formulaic the more I read of his work.
In addition, a lot of his novels tend to have a group of main characters who, while flawed in some fashion, are often still these slightly exaggerated Great Noble People, who are beautiful and progressive and wondrous and so on. This isn't ALWAYS the case, but it's definitely a noticeable trend.
As far as his actual style, the books are basically historical fantasy. The fantasy elements are very light, for the most part, and if you happen to know a bit about whatever historical tale he's riffing off of, then it will sometimes become a bit predictable. Even so, he does a good job of generally portraying the various cultures he's emulating with a decent amount of integrity and realism. He doesn't shy away from the uglier aspects of them, but nor are they overly stereotypical.
Overall though, I'd definitely recommend checking out his stuff. I think in-general, The Sarantine Mosaic (a two-parter) is his most well-looked upon. The Lions of Al-Rassan is also up generally quite popular, and while I did like it, it did suffer from that "all the main characters and great and noble and beautiful" syndrome.