DC's Kingdom Come is always worth a read, along with everything else that's been mentioned so far in this topic.
However I will point out that while Watchmen and Sandman are great in their own right, going to Marvel or DC (personally I enjoy DC more, but I am finding some stuff to enjoy in Marvel) may be a bit of an interesting experience for you. Things aren't quite as grim or gritty as say Watchmen was, in current comics. Well, maybe a few are, but for the most part not really. The bottom line is that not all of it is going to be as awesome or groundbreaking or thought-provoking as those two titles, as well as some of the others listed in this topic, are. As long as you understand that, you'll be just fine, I think.
After that, I tend to find that I do best by going to the comic shop and wandering around. Picking up and reading a few pages of what I see that catches my attention. I found Green Lantern that way (yes, it's much better than the movie portrays it. Although contrary to popular belief, I don't think it was THAT awful.) and I've read others on a whim too.
So yeah...bottom line is just don't expect everything to be deep or thought-provoking, and don't be afraid to just try some random titles.