What was his best film?

The Thief of Bagdad is excellent and holds up pretty well alongside the 1950 film (one of my favourite movies)... but my favourite from Raoul Walsh would be one of his Cagney collaborations, The Roaring Twenties or White Heat, probably a slight edge to the former although both are awesome.

I've never seen The Thief of Bagdad, but for me its White Heat, followed by They Drive by Night, The Roaring Twenties and High Sierra. He's got a very good filmography!

white heat

High Sierra (1941) - that's the first one I'd want to re-watch anyway.

White Heat (1949)