Like TG says – anything by Neil Gaiman – Sandman is especially brilliant, and the original Books of magic are also superb – he also did a series called Purple Orchid which is fun…
Hellblazer is another good one – you should be able to get the collected editions in internet land without any trouble (Gaiman did a quick one off issue which is especially good, and the earlier ones written by Jamie Delano are IMO the ones to look for)..
Swamp thing is good fun – especially the second series in which Alan Moore took over the writing for a while (Alan Moore is another writer well worth looking out for)
Those are pretty much my favourites – oh and add to the list “Green Arrow”, and “Shado” which were both more standard superhero efforts, but still very well written…
