Little Nemo (1911) is a partially hand-colored short:
Gertie the Dinosaur (1914):
The Sinking of the Lusitania (1918):
The Centaurs (remaining fragment) (1921):
Flip's Circus (1921):
The Flying House (1921):
I got a comment below from someone who has a great homage site to McCay: Meeting McCay. The post on 12/4 is on Maurice Sendak, noting the obvious McCay influence on his work. We were always big Sendak fans when the kids were little but have just now discovered McCay. Earlier in the month he notes McCay's ties with Buster Keaton. It is a small world.