Watchmen is a must read, but then again, so is pretty much all Alan Moore. V for Vendetta is brilliant, as is the League of Extraordinary Gentlemen. The artwork isn't the best, but the writing is top notch.
Transmet is another that's been mentioned already, but it is brilliantly scripted and well drawn. Any Hunter S. Thompson fan should read this, it's pure gonzo journalism.
The Sandman is something else. Fantastically crafted tales of the downfall of Lord Morpheus, Dream of the Endless, and the effect of his character and the surrounding events on the rest of the universe.
Lucifer is another must read, especially after Sandman. Brings a whole new twist to the legendary bad guy of christianity.
while i'm on Neil Gaiman comics, The Books of Magic deserve a mention. Forget Harry Potter, he's just a rip off (he actually is) of young Timothy Hunter.
For those of you with a penchant for the slightly odd and disarming, Fables is worth a glance. All your favourite fairy tale characters, like you would never have dared nightmared about seeing them.
And for the totally demented and psychotic amongst us, Jhonen Vasquez provides more insanity than you can shake a stick at with Johnny the Homicidal Maniac. If you've seen Invader Zim, you'll know of Jhonen Vasquez, but will never quite be prepared for Johnny.
I am the human race's worst nightmare.
The human race is my worst nightmare.
Guess who go the raw end of the deal.
Fuck.
I can ail what cures you.