If you want a really good set of graphic novels with a lot of ties to classic mythologies, a couple of very unique characters and some of the best writing in the field you absolutely have to get Sandman(yes, Thor and Loki are in there as well among others)by Neil Gaiman.
In my opinion nothing he ever wrote after that comes close.
Otherwise I can recommend the collected Bone, and of course Cerebus, which is also the guy on my avatar.
Cerebus is a pretty unique series, drawn and written by Dave Sim(well he had a partner for backgrounds later on) from 1977 till 2004.
To quote the wikipedia:
Cerebus ran for 300 issues from December 1977 to 2004, and was over 6000 pages long, the longest-running original English-language comic book series ever by a single creative team.
[..]
Inspired in some ways by the Steve Gerber character Howard the Duck, the earliest issues of Cerebus took the form of a parody of the sword and sorcery genre, particularly Conan the Barbarian. The series developed artistic sophistication and originality very quickly. Citing as his self-originated commandment, "Thou shall break every law in the book,"[citation needed] Sim has done everything from flipping the page from horizontal to vertical and all stages in between to alternating comics with prose narrative, to including real dead or living people (himself included) in the storyline, all in an effort to explode the conventions of the North American comic book in every conceivable way.
In 1979, Sim, who was at the time a frequent marijuana user, began using LSD, taking the drug with such frequency that he was eventually hospitalized.[6] It was this incident that Sim claims led to the inspiration to produce Cerebus for 300 monthly issues.[6] The episodic adventures strayed further and further from heroic fantasy, and the twenty five-issue graphic novel High Society segued the narrative into a complex political satire and drama.
Well I can not even begin to write a summary for Cerebus, and it is a LOT of stuff, but it gets so damn brilliant.
No other comic book has ever done anything like this, featuring topics like literature and art, religion, politics, gender roles etc. and all in the context of the story.
Dave Sim might be crazy, but he has really created something marvelous.
And for super heroes I really like Astro City, which is a series that is basically featuring heroes that are heavily based on the popular superheroes from Marvel and DC, but shows them in a more realistic and human kind of way.
I try the Wiki again:
The essential hook of Astro City is that it explores how people — both ordinary people and the heroes and villains themselves — react to living in their world. For example, in the first story, Samaritan reflects on his life during a typical day in which he spends almost all of his waking hours flying around the world to help people, and never has any time to enjoy the sheer physical sensation of flight. Other stories involve a date between two high-profile heroes, the initiation of a "kid sidekick" hero, the efforts of a reformed supervillain to find a life outside of prison, a superhero being driven away from Earth by his "love's" attempts to expose him, and the life of an innocent bystander in the days after having been held hostage by a super-villain.
Concerning Marvel and DC I am more of a DC kinda guy, you could get Frank Miller's Batman stuff if you enjoy the character.
I am not big on superheroes anymore though, since I find that a lot of series just have too many highs and lows(mostly lows) concerning the quality of the writing and since all those iconic heroes are cashcows there will never be a proper end to any of those books(see Peter David working on the Hulk and how they just continued as if nothing had happened when he quit after writing the book for 12 years).
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