All superhero comics are more or less "fantasy" in a sense. But if we were to go strictly into the fantasy genre (magic, gods, elves and the sort) of comics, I can think of a number of examples:
Sandman by Neil Gaiman - Well duh. Anyone who reads fantasy seriously has to have at least read or issue or two of Gaiman's 75 issue epic of Morpheus, the Lord of Dreams.
Promethea by Alan Moore - Just started reading this, and while it does have some superhero elements, it can be safely classified as fantasy as it deals mainly with Moore's beliefs in Magic. Truly a fantastic mindtrip.
Swamp Thing by Alan Moore - Way before Gaiman wrote about dreams, Alan Moore was redefining the horror comic with his legendary run on the muck monster created by Len Wein and Bernie Wrightson. While generally classified as horror,
Swamp Thing under Moore does have numerous elements of fantasy running through it.
Berserk by Kentaro Miura - Okay, so it's a manga comic. Doesn't change the fact that it's one of the most brilliantly written and beautifully illustrated fantasy stories ever made. Be forewarned though, it's dark fantasy to the hilt. With violence, sex and loads of dark imagery.