His most notable television role has been Baltimore police detective Jimmy McNulty on the HBO television police drama The Wire. West was praised for the accuracy of his character's accent.
During his stint on The Wire, West directed the season 5 episode, "Took".
In film, he portrayed the heavy metal guitarist Kirk Cuddy in the 2001 film Rock Star. In 2006 West made a guest appearance as an actor in a sketch in The Catherine Tate Show, alongside "Frankie Howerd impressionist". In 2007, he played the Spartan politician Theron in 300 and a detective in Hannibal Rising and then in 2010 a Roman General in Centurion. West also starred in the 1999 film version of William Shakespeare's A Midsummer Night's Dream as Lysander.
West appeared in the role of Oliver Cromwell in the Channel 4 series The Devil's Whore. West played the villain, Jigsaw, in the 2008 film Punisher: War Zone. He also features in "Dr. West", the opening track on Eminem's 2009 album Relapse, as a doctor discharging Eminem from a rehab facility. West played the part over the phone in January 2009 while Eminem was recording it in a Miami studio.
In December 2009, he starred as Hank in a radio adaptation of Eugene O'Neill's expressionist play The Hairy Ape for BBC Radio 3, was a guest presenter on the BBC show Have I Got News for You, and ended the year alongside Joan Rivers and Sarah Jessica Parker with an appearance on Graham Norton's New Year's Eve Show. West portrayed General Virilus in Neil Marshall's adventure thriller Centurion and stars in the UK Ghost film The Awakening