I'll add another +1 for Gotham Central and Superman: Red Son. For the latter, I'm not much of a Superman fan myself but the cover caught me as it passed by me at work (which happens to be a library) and it's definitely worth a read. I'm assuming here that if you've read The Dark Knight Returns you've also read Batman: Year One. If you haven't, read that too.
For a different side of things, my two favorite graphic novels have been Batwoman: Elegy by Greg Rucka and Fun Home: A Family Tragicomic by Alison Bechdel (yes, that Bechdel, the one who created the infamous Bechdel test everyone cites once a year).
Batwoman: Elegy is the start of the Batwoman before the New 52 started. A great and rather powerful origin story that, at the time it was written, was very current. Of all of the "superhero" origin stories I've come across, this one is the most personal and real. The following comics, without Rucka writing but instead with the absolutely brilliant artist he paired up with, follows the same trend although not with the same punch. It got better, actually rather brilliant, near the end of J. H. Williams III's run and there we got cut short the short-straw.
Fun Home is not a "true" graphic novel as it's actually a memoir told in comic strip format. Still, I consider it a graphic "whatever" because of the style. Like Batwoman, it deals with the issues of coming out, except this comes from the actual person writing about herself and, in the end, it's more a story about family, dealing with one's own past, and death more than anything else. It contains more literary references than many would be able to point out but still worth a read. It is always on my recommendations list, either for people who read conventional books or those who love comics. It's brilliant.
Other stories:
Iron Man: Extremis by Warren Ellis is a decent read I come back to frequently. A rather short, self-contained story with amazing artwork as well.
Marvel's Civil War: A bit iffy for me but the idea it brought up, the registration of Marvel's superheroes in their universe, does make you think a bit more about the morals of having superheroes. By the end of the entire series I still couldn't name a side I wanted to be on.
The Ultimates by Mark Millar: If you liked the Avengers movie, this would be the book to read.
Daredevil, Vol 3 (I think) by Kevin Smith then Brian Michael Bendis: Starts off a bit weak but some of the later arcs are really very good. Been a while since I've read them so I'm going mostly off of memory. If you can find them, give them a go.
Some also mentioned Age of Bronze, which is another good read.