Firstly let me state the obvious, namely that all my views are completely subjective, and that for me Stanhope and Lee are the masters of the comedians I have seen over a period of years, with daylight next. Others are entitled to their own views.
For mine Lee's most engaging performance is the most recent, "Carpet Remant World", but it's also possibly his most intense and challenging and people may prefer to take them in order and start with "Stand Up Comedian" or his highly regarded TV series "Stewart Lee's Comedy vehicle".
Lee delivers a lot more than jokes, he has plenty he wants to say and much of it is unashamedly progressive and political. And if you don't like that he doesn't give a ****. Replace the word "progressive" with "libertarian" and that could be Stanhope. He is a niche act with a fiercely loyal and protective following and he openly despises and savagely attacks conventional comedy. And when he's rolling he riffs and improvises like the Albert Ayler of comedy. (And Lee is a lover of avante guard music) All traits he shares with Stanhope, excepting that Stanhope hates music. He obsessively deconstructs his own and others' work and he thrives on negative feedback, in fact like Stanhope he complains that as he becomes more popular the audiences have become too supportive and he prefers a bit more tension in the audience (watch Stanhope's "Austin Incident"). And they are both cited by other more commercially successful acts as "Comedians' comedians".
And on the subject of bad feedback, I just love this clip from "Carpet Remnant World" where Lee simply reads some of his bad internet press, and he studiously archives all his negative feedback. Once more it makes more sense if you watch the whole show but such is life.
Warning: It's offensive!