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.
Death. A collection of stories about Death, a character in The Sandman.