The Silver Cord. Digital. Kickstarted and completely free. Kind of neo-noir angels-and-death, in the spirit of Constantine. The Phoenix Requiem. Also digital and free. Victorian fantasy. The Wormworld Saga. Also digital and free. Wonderland-style Hero's Journey of a young boy overcoming tragedy and fear. Blankets. An autobiographical coming-of-age story. The Shepherd's Tale. The backstory of Shepherd Book that Firefly never got to tell. Absolutely fantastic if you're a Firefly fan. More of a graphic novella. Watchmen. The Sandman. Death. A collection of stories about Death, a character in The Sandman.
I would like to strongly second Blankets. I'm not much of a comic book/graphic novel reader, but very few stories have had such a strong emotional impact on me as Blankets did. Edit: this is especially good if you're interested in or can empathize with growing up in and growing out of an evangelical Christian community
I've never heard of some of these stories, and and love that most of them are digital.