Perhaps you’d like The Adventures of Barry Ween, Boy Genius?
I enjoy “The Wicked + the Divine”. The premise is that every 90 years, 12 people (called “The Pantheon”) merge with a divine spirit and become a god for 2 years until they die. In this 2 years, their godly powers, at least in the 21st Century, make them into massive pop idols. (It’s far cooler than it sounds)
Word of warning: Afterlife With Archie (the zombie comic) has been plagued with delays with only one issue published in the last year and a half. A new issue is supposed to be out soon but at this point, who cares?
I’ll also vouch for Sandman and Locke & Key.
By a charming coincidence, I was just re-reading the first issues last night!
Good writing, good art, an actual story, with a beginning, middle, and end. (Well, okay, there are some half-assed sequels, but they don’t really add up to much. Some exploration of aquatic elves, some efforts at further adventures of the familiar characters. Meh.) Available on Amazon, but kinda pricey.
There is Bone. Not superhero, no sadism, no fights, completed story. It is not exactly an adult story, though.
re Bone, the Prune Danish story was, I think, the hardest I have ever actually laughed from reading a comic book. Took me totally by surprise. (Everyone else at the picnic, too!)
(The second hardest I have ever laughed was at the “I told you my pants were too tight” joke in Cerebus the Aardvark. I have a very lowbrow sense of humor.)
I have the complete Bone. Took me awhile to warm to it because of the character design (you don’t mess with Walt Kelly and Don Martin), but once I got over that, I loved it.