Baum scholars universally agree that "Sky Island" is one of this best works, if not his VERY best work. That may be setting the bar a bit high, but I'd seriously rather read this over any other Oz book, including the Wonderful Wizard. It was woefully under-appreciated in its time, however, as it tanked upon publication, forcing Baum to go back to the well and write Oz stories again.
Of course, Sky Island is basically an Oz book anyway, just not in Oz. Trot and Captain Bill are back, this time joined by Button Bright (crossing over from "The Road to Oz"). They journey to the titular Sky Island, which is divided into two warring nations of Blue and Pink people. The narrative that follows features some of Baum's absolute sharpest and wittiest satire, poking holes in politics, religion, science, and racism with reckless abandon.
It also, for a brief moment, features Polychrome (another Oz crossover), who has inexplicably become a lawyer.