Assuming we're talking series and one-shots here...
Usagi Yojimbo ('Rabbit Bodyguard') by Stan Sakai. Miyamoto Usagi is a rabbit ronin in feudal Japan, wandering from place to place and using his sword to uphold honor. His lord was killed in a battle against Lord Hikiji, a mysterious figure of evil that wants to become Shogun, and since then Usagi has been on his own. There are some 'over arching' plot elements, and characters from previous storylines reappear from time to time, but the book as a whole is very accessable. You really could jump in at any time and not be totally confused as to what's going on. Storylines are rarely more than 2-3 issues long, with several single-issue stories throughout. Sakai has created some truly enduring and interesting characters.
Gold Digger is certainly in the top ten.
Nightwing. Best character in the DCU, hands down. Nightwing 1-50 is perhaps one of the best runs of comics ever.
Cerebus. OK, I have a love-hate relationship with Cerebus. Go get the 'phone books' up through High Society. Maybe the one for 'Church and State'; there are funny issues there, but as a whole it's not nearly as amusing or engaging. Then stop. The series just ended this past week with Issue #300, so.. soon you can get the entire thing in several hefty packages.
New Warriors. Two series both, sadly, long cancelled. Uneven in long patches, but on the whole one of the best team books I've ever read.
Runaways, so far, has become one of my new favorites. Its connections to the rest of the Marvel Universe are... kinda vague, if they even exist at all. But the premise is wonderful. You're a bunch of teenage friends (of varying degrees of freindship); your parents are all friends, so you've been together for a large chunk of your lives. Then... then you find out that your parents are all evil supervillains who control the city, the cops, everything. Some aren't even from this time or this planet.