I absolutely agree with the Astro City recommendation. Those books are wonderful, wonderful, wonderful. My favorite is the Confessor series, told through the point of view of the Confessor's unfortunately named sidekick, Altar Boy. The Wizard 1/2 issue of Astro City, about a man who dreams about a wife he may or may not have had was one of the best single issues I've ever read of a comic book ever. Period.
The Golden Age by James Robinson with art by Paul Smith is a classic in my book. Starring almost every DC character from the Golden Age of comics, from Green Lantern to the Red Bee, it's a look at DC's heroes in the years after WWII up to the very early '50s. This mini-series is the foundation and starting point for the revival of Golden Age characters going on at DC to this day. Books like Robinson's own Starman to JSA and Hawkman can be traced to The Golden Age.
Following in that vein, I think the entire run of Starman by James Robinson is available as graphic novels. I personally think that it's one of the most well thought out, well written super hero series ever written. What's unusual about it is that it follows the story of one hero, Jack Knight, son of the original Starman Ted Knight, from beginning to end. Along the way, it touches on, literally, every single other hero to ever bear the name of Starman in the DC Universe. I really love this series and I think most of you out there will too.
Sandman Mystery Theater by Matt Wagner, the mastermind behind Grendel and Mage. This is another book set in the Golden Age, focusing on the first Sandman, Wesley Dodds. It's atmospheric, sometimes creepy, and always well written. I think the first two or three arcs of the series are available in graphic novel, but the whole thing is worth picking up in back issues. It really captures a 1930's pulp fiction fell and spins it with a 90's flair. The series starts out focusing strictly on mystery men and "everyday" criminals like serial killers, child molesters and gangsters. As the series progresses, though, Wagner gradually introduces more and more Golden Age "super hero" elements, with visits from Starman, Hourman, the Specter and others either before they gain their powers, or just as they are first discovering them. Again, this is really good stuff.
Also, I don't think I've seen anyone mention Marvels or Kingdom Come. Those two should speak for themselves, do I really need to go into fanboy-worship mode for the artwork of Alex Ross?