Alan Moore's Watchmen is pretty much mandatory for anyone who wants to read sequential art.
Grant Morrison is a fantastic writer and everything he has written is absolutely brilliant, but I would recommend We3, one of his lesser known works. It's pretty sad and quite violent but a very poignant examination of animal experimentation. You really can't read anything by Morrison and not be left thinking about it for hours afterword.
Halcyon by Marc Guggenheim. Basically, what happens when Superheroes aren't needed anymore?
No comic list is complete without a Batman recommendation but I will eschew plugging The Dark Knight Returns and instead suggest Batman: Hush. This was Jeph Loeb in his heyday. Probably his finest work. Coupled with Jim Lee's artwork and this is a comic you wont forget.
Uzumaki by Junji Ito. I've never been a huge fan of manga, but this one stands alone. A lonely ocean-front village is haunted by a recurring symbol, a spiral, in a series of linked stories. The artwork is highly detailed and the story is reminiscent of the cosmic dread that Lovecraft evokes.
Nextwave: Agents of H.A.T.E. from Warren Ellis. This comic is pure silly fun from beginning to end. It takes a bunch of obscure C-list heroes from the Marvel universe, mixes them up in an absurd plot, strips out everything but explosions and swearing with a Nick Fury parody with a severe existential crisis and Oedipus complex. The intro song describes it best: "It's like Shakespeare, but with a lot more punching!"