I have all their albums in one form or another, and the thing that strikes me is how consistent they are. The mix of mellow introspective stuff to upbeat rockers, the fact that the production is always great, the quality of the songwriting. For my own taste, I prefer the upbeat stuff to the mellower, and always thought the ratio could use a little adjustment, but that's not how Mark wanted it. And he does know how to tell a story ("Telegraph Road", "Once Upon a Time in the West"), I just love his pickin' so much that I wish there was more of it.
Edit: Because "does" and "doesn't" don't mean the same thing.