The Sandman by Neil Gaiman.
Sandman is indeed excellent. As is everything written by Neil Gaiman.
Of other American comics, I'd recommend Frank Miller's Sin City. It just oozes style and badassery.
You must've seen or at least heard of the movie based on this - the comic book has got some additional story arcs, not included in the film, so it's worth checking out.
http://en.wikipedia.org/wiki/Sin_CityThe Dark Knight Returns(Miller again), is surprisingly good for a superhero story. It's about the middle-aged Batman, and it's really better than it sounds.
http://en.wikipedia.org/wiki/Dark_Knight_ReturnsThe sequel wasn't really good, though.
If you care for Japanese comics, i.e.manga, then go ahead and try the classic Akira.
Blame! is great as well, but my all time favourite is Miyazaki's Nausicaa.
http://en.wikipedia.org/wiki/Akira_(manga)
http://www.onemanga.com/BLAME/1/01/http://en.wikipedia.org/wiki/Nausica%C3%A4_of_the_Valley_of_the_Wind_(manga)
Then there are European comics, which are quite different in style from the American ones.
Belgium is the country producing the most titles, followed maybe by France and Italy. This means that most of the stuff gets released in French, and translations are not as easy to come by as with e.g. manga.
I know that Thorgal (by Rosinski & Van Hamme) is getting translated. Currently half of the series has been published in Britain, if I remember correctly. Definitely worth checking out, if you can get it.
http://en.wikipedia.org/wiki/ThorgalThe Chninkel, is another one by the same artists. It hasn't been published in English, but there is a fan-translation available on the net.
http://www.mangavolume.com/chninkel/chapter-chninkel-1/If you can handle some disturbing stuff, check out Druuna by Paolo E.Serpieri. It's an erotic fantasy/sf comic book(eh, those Italians). It appears at first to be just some sort of porn comic, but soon it turns out to be much more than that.
http://en.wikipedia.org/wiki/Druuna