Most of these are collected comics, not necessarily GN's but..
Punisher Max - The Garth Ennis run, fantastic series (If you're into more adult comics, some people aren't so just saying.) It all ties together perfectly, with some excellent story telling.
Preacher - Again by Garth Ennis, great stuff.
We3 - an excellent story by Grant Morrison. Like a dark and brutal sci-fi version of the Incredible Journey.
Sandman as has been mentioned, by Neil Gaiman.
Chew - It's ongoing and only just really started but it's excellent.
I Kill Giants - Can't really say much about this, you have to read it without prior knowledge, but a lot of people love it, i thought it was pretty good too, though not my usual sort of thing.
Y The Last Man - Every mammal possessing a Y chromosome has died simultaneously, except for one man Yorick, and his pet Capuchin monkey, Ampersand. It's really great.
Superman: Red Son - Great Elseworlds story (minus the silly ending) about Superman landing on a Ukrainian farm instead of Kansas and being raised in the Soviet Union.
Wolverine: Old Man Logan - Don't want to spoil anything but it's like "The Unforgiven" with Wolverine, what more do you want? haha.
Ronin - A disgraced Ronin is reincarnated in a dystopian future to put a stop to the Demon that killed his master.
V for Vendetta.
Saga of the Swamp Thing - Amazing horror type stories and reinvention of a classic character by Alan Moore.
Black Summer - A gritty Superhero story dealing with the aftermath of a Superhero that kills the President because he's convinced himself it was the right thing to do to save people.
Planetary - More by Warren Ellis, don't want to spoil a thing, it's excellent.