Fell (And really anything by Warren Ellis)
League of Extraordinary Gentlemen (Alan Moore in genearal)
DMZ (Brian Wood)
Concrete (Paul Chadwick)
Hellboy (Mike Mignola)
Lone Wolf and Cub (Kazuo Koike)
Those are a few of my favorites besides those already mentioned and they span multiple genres but all focus on long form plots and stories (unlike the standard serialized DC/Marvel fare which are good in their own right).
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