I'll just suggest the ones I've read, or have heard very good things about.
Series:
The Sandman series by Neil Gaiman is essential reading. The plots are intricate and intelligent, and generally revolves around Morpheus, a god like being who rules over the land of people's dreams.
Preacher By Garth Ennis. A violent, vulgar, yet intelligent and raucously funny series revolving around a Texas Preacher who is imbued with 'the word of god'. It has corrupt angels, an irish vampire, a clandestine religious order who intend to rule the world, a real cowboy from hell called the Saint of Killers and a teenager with an arse for a face.
Transmetropolitan by Warren Ellis. This series follows the exploits of a futuristic gonzo journalist called Spider Jerusalem. I've only read one of the books but found it to be outstanding quality.
Stand Alone Graphic Novels:
Maus by Art Spiegleman. I've never read this (I know, I really should but I just haven't been able to bring myself to do so yet.) It is basically an allegory of the plight of the jews in Nazi Germany with mice as the protagonists.
V for Vendetta by Alan Moore. If you've seen the movie you'll know the basic idea, but the book is so much better with much greater depth. They changed a great many things for the film and ommited even more. A great read.
The Dark Knight Returns by Frank Miller. The quintessential Batman Graphic Novel. It revolves around an older Batman who comes out of retirement to deal with the overwhelming gang problem that is plaguing Gotham City and ends up fighting not only the Joker but also Superman who is nothing more than a tool for the Reagan administration.
The Killing Joke by Alan Moore. I have not read this one either, but I hear nothing but good things about it.
There's a hell of lot of other good stuff out there, but I can't think of any more of the top of my head. A good place to start is to find books that were released on DCs Vertigo imprint,which is their line for mature comics.
