Two of my favorites at the moment:
I know I sure as hell shouldn't have to explain the Punisher, so I won't. This is just the on-going tale of him trying to wipe out every piece of mob scum he can find, and I have to say, the comic is not for the faint of heart. It doesn't pull any punches and the writing/story is great so far.
For example, in the first episode, Punisher comes to an old mafia don's 100th birthday party, shoots him right in head, and then mows down every single male party-goer with an M60 as they run outside to kill him. Brains and arms and legs were everywhere.
Another jewel from the comic lord who is Warren Ellis (Transmetropolitan, Fell, Black Gas, etc.). Basically, the gist of the story is that Michael Jones of MI6 was experimented on in the Desolation tests and as a result of this, has slightly changed and "mutated", if you will. He doesn't have a third arm or anything, but his eyes are very sensitive to sunlight, he's pale, physically withered and covered with scars and such, and he doesn't really register pain anymore. That's kind of a plus, but still, he's pretty fucked up.
Anyway, after the tests, he's moved to Los Angeles where a lot of ex-spooks (spies and such) are condemned to and they're not allowed to leave. Jones has since become a sort of private investigator and at the beginning of the story arc, he's contracted by an old, rich man to find something very dear to him.
The art is amazing and very detailed and since it's Ellis as the writer, the story is absolutely top-notch. Just as an example, one of the best pages in the first issue: