I'm surprised nobody has mentioned the much-acclaimed Neil Gaiman comic series, The Sandman. First of all, that series is actually the equivalent of a rated "R" movie, with violence, very strong language, nudity, etc, it's primarily for adults/teenagers.
Also, the series gives insight into human nature, and features some of the best characters known to comics. Hell, sometimes it gives more insight to human nature than many novels that I've read.
If you liked Neil Gaiman's American Gods, than I'd definitely suggest the Sandman. Best to start at the beginning, and go with the book Preludes and Nocturnes first. Then The Doll's House, skip Dream Country and go to Season of Mists where the series really picks up. If you want to keep following the main story, read A Game of You, then Brief Lives- possibly the best in the series- then The Kindly Ones and finally end it with The Wake. It'll leave you hungering for more, so then you can go back and read Dream Country, Fables and Reflections, and World's End in any particular order.
Also, after reading Season of Mists in the Sandman series, I'd suggest reading the spin-off series Lucifer, starting with the Devil in the Gateway book.
And the Hellblazer series is rather good too. The book Dangerous Habits is being made into the "Constantine" movie.