I love Gilliam. From what I've read, the movies:
Time Bandits
Brazil
Adventures of Baron Munchausen
comprise a loosely connected trilogy, linked only in themes. They all refer to imagination and dreams that have spun somewhat out of control and the challenges of keeping that side of your mind in balance.
Time Bandits = Childhood imagination
Brazil = Middle-age dreams run amok
A of Baron M = elderly imagination filling in the holes of what you no longer remember.
I love his adaptation of Fear and Loathing in Las Vegas. Brilliant filmography. I'm very disappointed that Don Quixote fell apart, but I'm looking forward to The Brothers Grimm and Good Omens.
IMDB Links:
The Brothers Grimm Link
Good Omens Link
Can't wait.