The Walking Dead. Post apocalyptic zombie story. Unlike other stories, it focuses not on "the fantasy of the apocalypse, but on the reality." That is, ammo is a precious resource and gun shots are loud, attracting swarms. The scary things/things that make you think have little to nothing to do with the zombies, but rather, the people.
Sandman. The literature of comic books. Of the Seven "Endless," the series focuses the most on Dream, aka Morpheus, aka The Sandman. Riddled with ancient references to mythologies, cults, stories, literature, and ideas new and old, the comics have something for everyone, and they only get more interesting each time you read them.
The Watchmen. A cult classic, and for good reason. A superhero story for readers who hate superheroes, a story for those who love stories. The characters and plot lines are complex, the references and foreshadowing subtle. Again, it's another story that only gets more interesting with each read as you mick up on more and more hints and clues.
Unwritten. The comic books for writers. Tommy grew up the inspiration for his dad's stories. His dad became world famous for his stories centering around Tommy as the main character, making Tommy world famous as well. One day, his father vanished. Not even Tommy knew where he was. Years later, his dad returns... along with all of the characters from his books, heroes and villains alike, and all of which think Tommy is the Tommy from their books. As fantasy and reality bleed together, it's up to Tommy to figure out what is going on and how to fix everything before it's too late.
Neverwhere. Richard Mayhew, a Scot living in London, encounters an injured girl named Door on the street one night. Despite his fiancée's protests he decides to help her, but that unfortunately also means that he suddenly ceases to exist for regular people and becomes real only to the denizens of 'London Below', whose inhabitants are generally invisible and non-existent to the people of 'London Above'. He loses his house, his job and nearly his mind as he travels London Below in an attempt to make sense out of it all, find a way back, and help Door survive as she is hunted down by hired assassins.
In London Below the various familiar names of London all take on a new significance: for example Knightsbridge becomes "Night's Bridge", a stone bridge whose darkness takes its toll in human life; The Angel, Islington is an actual angel. London Below is a parallel world in and beneath the sewers. Its inhabitants are the homeless, but also people from other times, such as Roman legionaries and medieval monks, as well as fictional and fantastical characters.
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I just packed most of my comics away XD These are my favorites that I could think of off the top of my head that you haven't yet mentioned up above. If you've ready The Dark Tower novels, I'd definitely recommend the comics. If you haven't, then read the novels first. Morning Glories is another good one. ^^