The thing is, he wrote Thud! and I Shall Wear Midnight after Unseen Academicals. For me, the latter wasn't a bad concept. It just need more editing. It felt messy to me. Whereas the last few novels felt, as I said above, like extended epilogues.
I decided to give Small Gods a reread. So far, the sacrilegious stuff is mostly near the beginning, and the book is more a satire of the human aspects of organised religion - specifically medieval Catholicism and the Inquisition and the like. Perhaps I am now far enough removed from my upbringing that I can appreciate it better. I'll let you know what I think once I've finished it. (Not quite halfway through.)
EDIT: And, while I was looking through my incomplete collection, I realized that there is one Discworld novel I haven't read: Eric.