On May 1 1999, Vanessa Branson and Prue O'Day gathered together fifteen kindred spirits who were prepared to invest in a collection of contemporary art that would take the pulse of the times. Thus The Wonderful Fund was born. The idea was that ownership would be shared but that the purchasing would be done by Branson and O'Day. Over the next five years, the pair visited artists' studios, galleries, degree shows and art fairs in Britain, America and Europe looking for as broad a spectrum of work as possible. Informed by their many years in the contemporary art world, Branson and O'Day's criteria for acquisition was unashamedly subjective: works were chosen for their quality, their sense of rightness or simply their ability to elicit a frisson akin to Surrealist leader André Breton's famous sensation of "a cold wind brushing across my temple".

Out of these spontaneous beginnings has grown a collection of artworks in a rich variety of media made by more than sixty artists of all ages. Some were bought directly from student shows, others are by more established figures, whether the photographs by British-based Tracey Emin and Wolfgang Tillmans or South African artist William Kentridge's bronze sculptures. The two touchingly funny photopieces by the late John Coplans, in which the artist's fingers act as tragi-comic substitutes for his legs and arms, were purchased when the veteran American artist and legendary Artforum editor was in his 80's.

The Wonderful Fund Collection stands as a surprisingly clear testament to many of the key concerns, whether artistic, social, political or cultural, that have underpinned the first five years of the new millennium. For example, given its title, it is tempting to see English artist Phillip Allen's International as not only a highly abstract rehearsal of painterly techniques, but also as a comment on both the contingency and the diversity of nations, with its rows of vividly-painted blank squares springing from a central point like spokes which appear to be simultaneously converging and dispersing. Formal acuity also coalesces with cultural observation in Candida Höfer's exquisitely composed photograph of the Frey-Grynaeisches Institut in Basel where an antique globe, positioned at the centre of seemingly endless rooms full of ranked rows of books, encapsulates both an age-old obsession with knowledge as well as making a wryly historical nod to today's information overload.

More politically overt is American artist Jonathan Horowitz' The Official Portrait of George W. Bush Available Free from the White House Hung Upside Down which is just that: a deliberately crude gesture by this media-savvy artist, who specialises in video installations that interrogate the grip of the popular media on our experience and memory. But there is more at play here than a blunt debunking of presidential - and national - hubris. By inverting both the President and his flag, Horowitz is also pointing out that, albeit from radically different political standpoints, both liberal and conservative values were irrevocably upended by the events of 2001. By contrast, Room 1, by Belfast-born photographer Paul Seawright, commissioned by the Imperial War Museum, London to respond to 9/11 and the Afghanistan war, presents a disturbingly subtle view of the mayhem of conflict. A place of shelter and safety has been perforated by gunfire, but the dazzling white light which pours in through the gaping window and ceiling fissure acts as a form of aesthetic balm, soothing this scene of devastation into a subtle composition of light, shade, surface and volume.

Images of catastrophe and destruction appear in many Wonderful Fund artworks, but their messages remain determinedly mixed. German painter Dirk Skreber imbues a green car, upended, ripped and crumpled into a crash barrier, with the formal grace of a deposition. In this dispassionate depiction of disaster the paint rather than the event takes centre stage, with luscious brushstrokes transforming sharply twisted metal into velvety fleshy folds against a sparse background where just a few smears, drips and splatters suggest a distant cityscape. There's both extreme violence and tender reparation in American artist Glenn Kaino's meticulous arrangement of shattered model car parts, where each fragment is lovingly re-created in clear Perspex and yellow resin and then pinned down like a scientific specimen and preserved, votive-like, in a pristine wall-mounted vitrine.

Mayhem of a more hedonistic kind is to be found in David Burrows' vivid sculpture of what looks like a giant spillage, with multicoloured cut-out pieces of polyethylene arranged as if splattered across a wall. Amongst this carefully-assembled mess, wobbly letters spell out, The Spirit is an After Party Party. Are we witnessing something horrific or hilarious? Is this the messy aftermath of some harmless fun, or did matters get terribly out of hand? The potential for innocent playfulness to tip into something terrible is given quieter but no less evocative expression in a sinister little painting by Canadian born Marcel Dzama. In an empty, barren landscape, three little girls in identical black dresses and long socks each points a gun at another of their kind, whilst a fifth bears witness (or keeps lookout) from the top of a nearby hill. Reminiscent of Outsider artist Henry Darger's vengeful armies of Vivian Girls (who were depicted waging epic and often gory retribution on repressive adults), Dzama's dispassionate doll-like figures are similarly locked in a parallel universe where conventional codes of conduct no longer apply.

The fundamental sense of insecurity that seems to pervade almost every element of contemporary existence has given rise to a wide range of artists exploring issues of identity in evermore multifarious ways. It is almost as if, in these troubled times, there is a greater need to touch base with who and what we are. Yet whether artists use their own image as in Sarah Lucas's defiant, funny but also fragile self-portrait, where she is both holding and hiding behind one of her jokily suggestive 'male' photos; or whether they use the image of others, as in Austrian artist duo Muntean|Rosenblum's delicate romantic pencil drawings of introspective yet utterly contemporary and stylish youth; there is never a single reading or stance, but always multiple, mutable viewpoints.

In his ornamental vase We Three, decorated with photographic transfers of his daughter, his schoolboy self and his transvestite alter-ego Clare, Grayson Perry engages with the shifting, overlapping elements - biological, cultural, sexual - that coalesce around our sense of self; and this notion that identity is as much constructed as genetic also runs through Julian Opie's computer-generated portraits. In his images of Bernard, schoolboy or Christine, gallery director as much - or even more - importance is accorded to the artificial as to the natural aspects of our appearance, underlining the fact that individuality relies as much upon choice of hairstyle or spectacles as it does upon factors such as shape of eye or facial contour. The fact that we all can - and often do - present a parade of wildly differing personae is made manifest in Scottish artist Kenny Macleod's video Robbie Fraser where, with an escalating absurdism worthy of Samuel Beckett, his first-person statements about the eponymous hero are blatantly contradictory, leaving the viewer both amused and alienated in equal portions.

For many of today's artists, both making and responding to art is akin to telling - or half telling - stories; and throughout The Wonderful Fund Collection oblique references, fractured narratives and implied histories abound. The New York based daughter of Chinese parents, Anne Chu taps into a web of references from ancient Chinese to Medieval European to confound the viewer and emphasise the abstract as well as the representational qualities of her work. Her Standing Groom, based on a Tang Dynasty figure, looks disturbingly like a fairground marionette, or, more ominously, a lynched figure. The sheer quality of Chantal Joffe's paint handling animates the enigmatic row of young children who stare disconcertingly out of her huge painting wearing only their underwear; while in Annika Larsson's two Pink Ball prints taken from her video piece of the same name, there's a voyeuristic discomfort provided by her view of this prone naked man, who is rendered both ridiculous and highly vulnerable by the artist - and spectator's - gaze.

At each turn the viewer is engaged and beguiled: everyone reads the faces of their own favourite players into Vik Muniz' anonymous football team; while the fact that Keith Tyson's drawings do not reflect the workings of the artist's mind but were arrived at courtesy of Tyson's 'Artmachine', a complex system invented by the artist to generate detailed proposals for artworks, only renders them all the more intriguing. For if there is one characteristic shared by the artists represented in The Wonderful Fund it is a common ability to strike a chord with a wide-ranging audience in ways that are frequently poetic, sometimes provocative, occasionally funny, and often profound. A special achievement of this collection is that it not only reflects but also transcends the times in which it was made.

Louisa Buck