To add to some of the great choices above:
Stormwatch by Warren Ellis-Peak 90's Ellis storytelling,, he turned Image's JLA wannabe series into a the precursor for the Authority.
Supreme by Alan Moore and Rick Vietch-Another Brit rebooting an Image title (well Liefeld title, anyway). Moore retooled a bland Superman rip-off into the ultimate homage story. The whole thing spans two volumes , and was meant to continue, but never did. It somehow manages to be a love letter to all eras of Superman and its own tale at the same time.
Sleeper by Ed Brubaker and Sean Phillips-Almost anything by this duo is fantastic, but this tale of superpowered espionage and intrigue is hard to beat.
Punisher Max-Garth Ennis- Garth Ennis loves to tell war stories, and that's what he does with this series.
Usagi Yojimbo-Stan Sakai-This series is fantastic, if you haven't read it you should. If you have you should re-read it!
The Manhattan Projects- Jonathan Hickman and Nick Pittara-Alternate history of a post-WW II super science hi-jinks.
The Forever People and Mr. Miracle-Jack Kirby-These two series serve to build much of the background and characters who take part in the conflict that was presented in Kirby's main New Gods storyline. The number of ideas and concepts that he packs into these series is astounding.