If we’re allowed to include collections, why not the excellent Button Man collections?
I’ll second this one. Snow White as a ballbusting businesswoman, Prince Charming as an ambitious lech, Goldilocks as a Baader-Meinhof-style political terrorist who isn’t shy about using guns and bombs to achieve her ends, the Big Bad Wolf as a chain-smoking ex-war hero and film noir style detective… these sure ain’t your childhood bedtime stories. This one definitely deserves a look.
I’ll also suggest the Lucifer series by (IIRC) Mike Carey. This one is difficult to describe, but in a nutshell, Lucifer (yes, the Prince of Darkness, who was spun off from Neil Gaiman’s Sandman), gave up his job as the ruler of Hell and lived quietly in LA for some years, running a cocktail piano bar before events in both Heaven and Hell, and on Earth, caught up to him, and he returned to his angelic role. The Lucifer books and stories can be confusing at times, with various sub-plots weaving in and out and characters who appear and disappear seemingly at random, but they do come together and everything makes sense eventually. A very thought-provoking read.
I disagree. 
I’ll second Sandman, Lucifer, Transmetropolitan and Preacher, but try the Death books too (a Sandman spinoff).
Death:The High Cost of Living and **Death:The Time of Your Life **are both brilliant (I even love the titles), and you’l get a lot of strange backstory or further story from various Sandman happenings.
I’ll also recomend Rising Stars (a three-album series with a start, middle, and finish, no loose ends) and also Midnight Nation (a dark, strange alegory-like tale) both by J. Michael Straczynski.
And if you like over-the-top vampire fun, Bite Club is an alright read.
I haven’t read Rising Stars, but I’ve read a lot of JMS’s stuff and it’s great. He is one of the current masters of the form IMO. For those who don’t know, he also created the cult hit Babylon 5.
The Death books are pretty decent, too. Easier to slip in and out of than Sandman, but not as complex.
He also adapted Jeremiah into a TV-series. That alone makes it interesting to look at his other stuff.
Road to Perdition was excellent. As good as, if not better than, the movie.