Here are a couple suggestions. The sub genres vary a lot, so I'll provide some information, but most of that stuff you should really experience for yourself if you are at all interested in it.
Swamp Thing (Alan Moore run) - At the surface a simple story about a man turned into a weird swamp monster, in reality a psychological, surreal and intellectual (sometimes a bit pretentious) classic of comic book literature. It has very slight super hero tie-ins at the beginning, but those are quickly written out and non-important to the overall story.
Hellblazer (Original Series) - Another true classic are the stories featuring everyone's favourite magician and drunk, John Constantine. A very British series, with some amazing writing for the first 150 or so issues (neatly collected in 10 to 12 issue trades). There's a lot of occultism, witchcraft, serial killers and just generally shitty stuff going on, and Constantine is a great protagonist for it all, cursing, tricking and fucking his way throughout England and America.
Locke & Key - +1 from the previous suggestion. At its core a story about the loss of a parent, and young sibling coming together in a new (obviously spooky) house. The mystery surrounding the house and all the keys (magic keys, doing some very weird shit) is very well done, and most importantly, tied up well.
Harrow County - A story about a young girl who might or might not be a witch, with an evil twin, who again might or might not be a witch, set in a rural town featuring superstitious people and deep, dark woods. It's great and the artwork is top notch.
American Vampire - A great vampire story, if you are in the mood for one, following an outlaw cowboy, Skinner Sweet, turned vampire (and some of his "off-spring") throughout the decades. The historical American backdrops (1880, 1920, 1940 etc.) keep things fresh and fun throughout the entire run.
East of West - An alternate history (the US gets separated into 7 different, huge states) story about the apocalypse, with lots of political intrigue, dark humour and gorgeous artwork. Death, on of the Four Riders of the Apocalypse finds love and ends up at odds with his fellow Riders. It's basically a political, Horror-Western.
The Walking Dead - You should know this one, so I'll not go into it too much. The tv show is shit, but the comics are amazing, even better than the first couple TellTale games. Get the first Omnibus Edition for cheap and read what is probably the best zombie story ever told.
Preacher - Very snarky, very dark, very funny and very bloody - that's Preacher in a nutshell. It's a story about a Priest, who heard the word of god, and doesn't like what he hears. He ends up wanting to confront god, traveling with his on/off girlfriend and an Irish vampire, while being antagonised by fictional religious groups, a boy called Arseface (because he shot his own face "off" with a shotgun and now looks like, well, you get the idea) and a ton of Hillbilly assholes. It's not for everyone, but if you do like it, you'll probably find it to be one of your favourites.
From Hell - One-off story about Jack the Ripper. Very text-heavy and interwoven with lots of real info (and speculation) about the actual case. Not action heavy at all, but if you are in the mood for something more complex, this is it.
Ice Cream Man - A newer anthology story, about loads of different stuff, held together by a recurring, weird Ice Cream Truck guy. This series goes places.
Nailbiter - A story about different serial killers, one being more fucked up than the other. There's even some "reformed" ones, that are now just killing and mutilating animals instead. Unsettling and very gory.
Hack/Slash - A horror comedy, about a "final girl" (basically the last surviving person in a slasher flick) who starts hunting down serial killers, along with here friend, Vlad (who gets mistaken with serial killers a lot, because of his deformed appearance). Those serial killers quickly turn out to be real monsters, not just human ones. It is campy and features appearances by characters like Chucky the Murder Doll and Ash from Evil Dead. Very fun, if you like slasher flicks and comedy stuff.
Uzumaki - +1 to the Junji Ito recommendation. His stiff is very unsettling and weird, and definitely worth a read.
Hommunculus - Another manga, another weird one. The basic premise is one guy, getting a whole drilled in his head (trepanation procedure), and suddenly being able to see demons, ghosts, and most importantly, "the true nature of humans". It has quite a lot of social themes/observations obviously, but mostly it's just real fucked up fun.
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