NOTE: The various "related videos" titled "Little Nemo Part 1" etc. are in fact not McCay's work, but Japanese animations made in the 1990s, borrowing from his comic strips.
Authentic McCay silent films at YouTube include How a Mosquito Operates (rather disturbing), from 1912; Gertie the Dinosaur, from 1914; The Sinking Of the Lusitania, which is sort of a belated animated newsreel story which wasn't released until 1918, long after the event; Dreams of the Rarebit Fiend (subtitled Bug Vaudeville), an oddly charming 1921 piece that might become disturbing for arachnophobes at about 5:40 in; and a surviving two minute fragment of his 1921 film The Centaurs.
Also interesting, though not by McCay, is a short film from 1910 by French animator Emile Cohl, called The Hasher's Delirium. Good heavens! I see a number of other Cohl selections among the related videos, so I've got something to explore on my next YouTube visit. Cohl's IMDb page lists over two hundred films, but I'd imagine most have been lost.