I haven't read nearly as many as I would like, and I actually don't own any comics. I just download them all. I've read pretty much everything with Silver Surfer and Deadpool, two of my favourite characters. Plus The Planet Hulk and Civil War story arcs in the Marvel Universe. Here are my recommendations:
The Dark Knight Returns
A great story about Batman's later years, when he comes back out of retirement for one last fight with the Joker.
Watchmen
I'm sure you are all familiar with the Watchmen story. If you enjoyed the film, you'll like the original even more.
Preacher
A texas preacher gets possessed by a angel/demon hybrid, and goes on a search to find God. He has to fight off all kinds of demons and junk, good stuff.
Sandman
This one's hard to summarize, so I'll let the author do it:
"The Lord of Dreams learns that one must change or die, and makes his decision."
Marvel Civil War
Theres a mishap where some super heroes accidentally kill some people, and the US government decides that super heroes need to be policed and and handled. Tony Stark takes the side of the government, and tries to persuade everyone to join. Joining would mean that you would submit your secret identity to the government, and they would decide where you fight crime. Captain America leads the opposition, believing that the government shouldn't have ultimate control.