Some of my favorites:
1. The Ballad of Halo Jones - There are 3 books in this series which revolve around a 50th century every woman named halo jones. The 3 books chronicle more than 10 years of her life. Book 1 takes place in the course of 1 day in the life of 18 year old halo jones and her violent and semi comical misadventures on a shopping trip. Books 2 involves halo as a stewardess on a year long voyage in space. Book 3 (set 10 years later) has halo becoming a soldier in an interstellar guerilla war.
2. The Sandman - Focuses on Dream of the Endless (the other endless being: Destiny, Death, Destruction, Despair, Desire and Delirium) who is the lord of the dream realm. One of the best graphic novels I've ever read.
3. V for Vendetta - If you saw the movie, don't think that the comic and the movie are the same thing, they are totally different. The comics much better.
4. Hellblazer - The main character John Constantine is a streetwise magician. This is a difficult comic to just sum up in a few sentences but there are demons, heaven, hell, magic and John Constantine involved, you don't want to skip over this one. This is a continuing series which started in the late 80's so there's lot's of stuff to keep you entertained.
5. Ghost World - A more realistic series than the above mentioned, it features two friends, Enid and Rebecca, wandering more or less aimlessly through their small town criticizing pop culture and basically everything else. You see how their friendship is being stressed and how they eventually grow apart, this is an amazing comic. Even if you don't think this is your kind of thing pick it up anyway and give it a try, you won't regret it.
Also check out: Doktor Sleepless, Transmetropolitan, Y: The Last Man, and anything written by Alan Moore (he wrote The Ballad of Halo Jones and V for Vendetta listed above)