When I was in college, I got back into collecting comic books. The dates converged nicely for me, as this was also the start of the Vertigo imprint with DC comics. I was not interested so much in superhero comics - I wanted comics with more adult story lines and complex themes. Vertigo was there for me. It was at this time that I discovered The Sandman, written by Neil Gaiman. I was blown away.
I found The Sandman more than midway through its complete run -- it joined the Vertigo imprint with issue #47 (out of 75). I frantically back-collected until I had the entire run of the series. The stories are mythic, fantastic, epic... all of the things you'd expect from Gaiman's writing.
The main character is Dream, who is the mythological Dream King, Lord of Dreams, etc. and the stories take place in the real world and in the realm of dream (amongst other realities). There are ten primary stories which have been collected into the ten collected editions: Preludes & Nocturnes, The Doll's House, Dream Country, Season of Mists, A Game of You, Fables and Reflections, Brief Lives, Worlds' End, The Kindly Ones and The Wake.
I think Season of Mists and A Game of You are the best stories in the run, but I have a soft spot in my heart for Brief Lives as that is the story that the series was in the middle of when I encountered it for the first time.
This series has been known to get non-comic oriented people into comics. If you like a fantastic story (some would argue the best stories ever written in comic form), I recommend seeking out this title.