Grant Morrison’s THE INVISIBLES
I have the first one from the Sandman Collection… soon as I get the chance I’m buying the rest (one by one) along with the Death graphic novels and Books of Magic… oh and probably Hitchhikers Guide to the Galaxy (I saw it a few days ago at the local store)
If you can find the only Sandman Mystery Theatre TPB, it would be worth your while.
If you liked Maus- and whould like to see what graphic novels can do with real world topics- I cannot possibly recommend too highly
** Joe Sacco’s “Safe Area Gorazde” **
about the war in Bosnia.
WHY I HATE SATURN is wonderful. It’s always amazing to me, for some reason, when a guy can write a woman’s role so well.
But the OP lists super-hero type stuff, and my favorite in that category is WATCHMEN. Didn’t I see somewhere that a film version is in the works?
I cannon recommend Marvel Comics’ Max series enough. Some of the hardest-hitting stories I’ve ever read, and some of the most blistering indictments of the American way of doing things I’ve ever seen. Oh yeah, completely free speech and plenty of bloodshed to boot. Who needs manga? 
(Definitely start with Fury; it’s by far the most cold-blooded.)
“Gotham by Gaslight” which tells the story of Batman if he had lived in the Victorian era and “Batman:Year One” should appeal to you if you enjoyed “The Dark Knight Returns.”
Is Gotham by Gaslight the one where he meets Houdini?
If you like The Dark Knight Returns, then check out some of Frank Miller’s other stuff, as mentioned by other posters. Especially 300 and any of his Sin City books (there are several).
I also recommend Moonshadow by J.M. DeMatteis. A wonderful, epic fairy-tale.
And also The Crow by James O’Barr.
Well, pretty much every comic I read has already been mentioned, except for Planetary. Good, conspiracy-laden '50s era sci-fi. Sort of the X-Files meets Amazing Stories.
tsarina, check out From Hell, a meticulously researched and very literate look at Jack the Ripper.
“Gotham by Gaslight” is the one where he meets Jack the Ripper.
The Watchmen really opened up my eyes to how powerful these stories can be.
I’m fond of Hellboy as well, but its not nearly in the same class as the Watchmen.
I like the Sin City books- the art is great- especially in ‘That Yellow Bastard’
CAMELOT 3000- 3000 AD- Space aliens are invading Earth- the UN world gov’t can’t stop them. A boy fleeing aliens in England
goes down into an archaeological dig & crashes into the tomb of King Arthur- rousing him. They then go to a lake, retrieve Excalibur & summon Merlin who casts a memory-restoration spell
which makes all the Knights & Ladies of the Round Table who have been reincarnated throughout the world recall their past lives… Much cooler than it sounds. INCLUDES both Christianity
AND lesbianism (Tristan & Isolde are both reincarnated as women).
ELVIS SHRUGGED- a brilliant pro-Libertarian parody of … you know what
“The Big Book of Urban Legends” is fun too.
I just read The Golden Age, which features nearly-forgotten characters from the 1940’s (e.g., Hourman, the Americommando and Johnny Quick) in a story involving HUAC, betrayal and the difficulty of living past your own era.
The library I work at has lots of graphic novels, all ghettoized into the young adult section. If you - like me - are not made of money, you could go to your library & get most of the ones mentioned here (or thru good old inter-library loan).
Recommend Ted Rall’s book about his visit to Afghanistan. Part of it is in the form of a graphic novel.
There is a series of books called “The Cartoon History of the World” which, yes, delivers the history of the world in sort-of graphic novel fashion.
The graphic novel version of “The Hobbit” which is out now is pretty interesting. (Don’t know why he made Bilbo’s hair straight not curly…)
The Love and Rockets collections are all excellent; I’d start with either “Heartbreak Soup” or “The Death of Speedy.”
If you start with the earliest volumes, Los Bros hadn’t reached their levels of competence yet, and the later ones all refer to earlier stories. Start with volumes 2 or 3 to see if this is your cup of tea.
And while all the Sandman books are excellent, again, start with the second volume (“A Doll’s House”) just to see if you like it. All the stylistic quirks of the first volume are best avoided for your first exposure to the series, I think, and this one has the two best individual stories, “Collectors” and the one about Hob Gadling.
Oh, also the collected first series of Elfquest. Spring for the color editions, it’s worth the extra cost (unless that’s all that’s still in print). Superior art and characterization for this type of story.