Arguably the best and most definitive finite series ever in comic book history, Neil Gaiman's Sandman series from Vertigo/DC Comics is an undeniably enjoyable read (all 10 volumes of it, plus its accompanying other books, such as the Dustcovers collection, the Death graphic novels, and the upcoming hardcover.)
The Sandman focuses on one of 7 immortals called the Endless, all of whom have names which begin with D (Destiny, Death, Desire, Destruction, Despair, Delirium, and our protagonist, Dream). Also referred to as the Sandman, or as Morpheus, Dream is the lord of the realm of, as you might conclude, Dreams. Basically, the series follows Dream through his adventures and changes as we learn that even endless immortals can die. Plenty of mythology to go around, as we get exposed to the Gaiman version of Christian religion, Greek religion, faerie folk, and even a strange city called necropolis which revolves around the trade of the dead. So why is the Sandman so enjoyable? Because it doesn't patronize the reader in being able to follow its train of thought. We're expected to KNOW at least somewhat of the countless references of Gaiman's text. It's written for intelligent and mature readers. And of course, there are humourous, intriguing, and contemporary takes on traditionally morbid things. For example, Death is a happy-go-lucky goth girl. Desire is a slinky androgynous disexual creature, and Destruction is has a rather 'guy-next-door' appeal. Individual issues are extremely rare these days, but the 10-volume graphic novel series collection is still available almost everywhere.
Neil Gaiman is a prolific writer known for his work everywhere; books, comics, television series'. There's more on him in the American Gods page. For now, I'll just say there's rarely ever been something written by him that wasn't critically lauded with praise. All his graphic novels could be great books, all his books could be great graphic novels, all could be fascinating movies.
Chris Bachalo is an artist who's sometimes done work on the Sandman, as well as some work on the two Death graphic novels. His style has drastically evolved through the years to a much more manga cartoony influenced style, but I've enjoyed his artwork throughout. He's also had some good runs on Generation X and Uncanny X-Men.
Finally, Dave McKean, who also worked with Grant Morrison on the Batman: Arkham Asylum graphic novel has done every single cover for the Sandman series. Every single one is therefore gorgeous. He produces this weird, brilliant art through a mixing of media including raw fabric, photographs, acrylic paint, and other crazy things. I wish I could buy the Sandman: Dustcovers collection, but I can't afford it just yet. It collects all of Dave McKean's covers. So yes, Sandman is expensive. But yes, Sandman is worth it. Do I own it? Hell no. My friend Connie collects 'em for me and I read them.Neil Gaiman Official Website
Chris Bachalo Official Website