I finished Jerusalem yesterday, and having made it all the way through the three volumes (which you can also get as one giant thing), I'd definitely recommend it. There are times where my interest flagged, but it gets better and better toward the end.
The whole thing is set in the Boroughs, the neighborhood where Moore grew up, which is a blasted out working class corner of Northampton, UK. Every chapter has a different narrator, and these range from some down and out residents of the Boroughs to a group of dead children, to a demon, to a sculpture of St Michael holding a billiard cue. One chapter is a play. One is a long poem. It's a giant thing, but feels still larger, epic in scope. It's very strange. I read a lot of strange things, and this was much stranger than most.
It's really good.