So I saw it again this evening, and yeah, it's the best of the three. You can't really fault it for anything. And yes, they absolutely need all the 4th wall things and other shenanigans, cause the story at its core is pretty goddamn depressing. Lose the wackiness, and you get a convoluted, more confusing, and more depressing Margin Call (which itself works because it keeps its story/setting really small in the context of something so huge). Seeing it again, I also realize there is plenty of reflection on the awfulness and real-world impact of it all, especially in the second half of the film.
So yeah, great film really.
Also, it's not just McKay that has an interesting career arch. I'd say the same for Steve Carell, who seemed a bit of a comedy one-trick pony at first, but actually has had some really good performances in very serious roles. I like seeing him in films.