You'll need the Darkhorse app to get at the Goon and Hellboy
Watchmen is obviously essential.
From the sounds of it you'd like Preacher by Garth Ennis, which is set in the "real world" with some "paranormal twists". It's absolutely worth reading, in my opinion even more so than Watchmen. I could talk about it for hours but I don't want to give anything away, but it's brilliant. Just look it up.
The other one I'd recommend is Transmetropolitan by Warren Ellis, again it's just an amazing series. It's basically Hunter S. Thompson set in a Cyberpunk future, which is as good as it sounds.
I'm not a fan of superhero comics at all, so I can't really suggest any of them, they just don't do it for me. I've tried to get into them but I just end up bored, I'd rather read something with some substance and heart. There are exceptions to this though like Dark Knight Returns and The Killing Joke.
Lastly, a lot of the Underground Comix are great, Robert Crumb, Art Spiegelmen and Spain Rodriguez are worth mentioning. Maus is really great, a depressing but honest portrayal of the Holocaust.
Fables and The Walking Dead seem to be what you're looking for, and might I suggest Bloodshot for a pretty good mob/military story. Comixology seems to be the best comics app to grab, and they have great deals most days too. But the individual publishers (Marvel, DC, Image, Dark Horse) all have their own apps and you might want to check them out too.