But please, please, please don't judge the series by having seen the movie. The film version is awfully, abyssmally, apocalyptically bad. Alan Moore has distanced himself from it as should anyone with taste and decency. By comparison, the graphic novels are the work of genius.
Unlike the first two volumes, Black Dossier is a stand-alone book - It's not a compilation of previously published comics. And it's not truly 'Volume Three' either. It's a kind of bridging volume that sets things up for the proper Volume Three, called Century - which comes out in 2008. As I understand it, there will be three more books - one set in 1910, the second in 1968 and the third taking place in the present day.
As we'd expect, a cast of well-known supporting characters appear throughout the book, including Billy Bunter turning up as the elderly caretaker of a run-down Greyfriars School, James 'Jimmy' Bond, Harry Lime, Emma Peel and Bulldog Drummond. And, as always, there are the thousands of subtle little things going on in the background: aliens from TV and film, characters from Giles cartoons ... I even spotted a music hall poster that mentions Arthur Atkins and Chester Drawers from the Fast Show. Every page bristles with wry humour and a hundred obscure references and it becomes an extra layer of fun just trying to spot and identify them all (I found a website by Jess Nevins that is dedicated to doing just that. Have a look here.)
Black Dossier, like almost anything produced by Alan Moore or Kev O'Neill, is definitely worth getting hold of if you can. To my UK readers I say take advantage of the weak dollar and get it sent over. You won't regret it.