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Slaine
Simon Bisley is to Warhammer what Frank Frazetta is to D&D. Or Warhammer is to D&D as Simon Bisley is to Frank Frazetta. Anyway, when he wasn't drawing insane Doom Patrol covers that bend all minds, Bisley did this totally metal barbarian comic and you should buy it.
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Ironwolf
I was surprised to hear Keith Baker hadn't seen this steampunk-before-steampunk tale of sabres, swashbuckling, wooden starships, vampires, werewolves, aristocrats, honor, snottiness, cynicism and intrigue before inventing Eberron. When I showed him his eyes just about rolled back in his head.
Howard Chaykin's self-pencilled 70s original is mainly remarkable for the make-Barbarella-weep astrofabulousness of the female character designs and the later, Mike Mignola pencilled Ironwolf: Fires of the Revolution is remarkable because fuck yeah Mike Mignola.
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Hellboy
Speaking of Mike Mignola. If you are interested in Hellboy but have never checked out the comics and don't know where to start, I'd start off with The Chained Coffin and Others then, if you're hooked, buy all the others with Mignola art and read them in order. If you're still hooked, the Ryan Sook and Duncan Fegredo ones are an acceptable methadone, though the fact that both artists are both so good when they aren't being hired to draw just like Mike Mignola makes their work there somehow coverbandish in a slightly depressing way.
Some notes here: Mignola's Fafhrd & Grey Mouser adaptation sounds like it can't lose, but the lack of true Leiber prose plus Mignola's inability to overcome the perennial challenge of doing medieval scenes using the traditional comic book coloring process makes this about 25% less sweet than it should be. For things in the same fantastic vein that work out a little better, see the Lovecrafty "Sanctum" story in Batman: Legends of the Dark Knight and Doctor Strange/Doctor Doom: Triumph and Torment.
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Blood: A Tale
Kent Williams paints some excellent stream-of-consciousness gobbledegook vampire stuff with swords and snakes and trees and dreams and more unerotic nudty than I have ever seen outside a wrestling ring. 4-issues, easily acquired in one bit.
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Elektra Lives Again
Why is this Frank Miller drawn/ Lynn Varley painted modern ninja book listed here?
1-It is criminally under-appreciated and with Frank Miller's reputation sinking every time he opens his mouth, its star will probably only dip lower in years to come, and
2-It has the best medieval-weapon slugfest scene ever in a comic book.
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Cerebus
Oh, Cerebus... For those who don't know, Cerebus is 300 black-and-white issues of an Aardvark acting like Conan and a comic book creator going from making fun of Conan to being sublimely inspired to succumbing to a particularly uncharming, pleonastic, and misogynistic brand of insanity. Dave Sim gets very good at drawing shadows and aardvarks, though his people are a little rubbery (though these days a lot of people like that kind of thing, so whatever).
The rundown for the unitiated:
The cheapest preview is a single issue called Cerebus #0. If you like it, buy more:
First book: Cerebus: the "funny-animal" original stories--they read like unusually ambitious Dragonmirth strips but are maybe essential to understanding the more serious stuff that follows.
High society--the first intimations of awesomeness.
Church and State and Jakas Story--What the legend is built on. This is the goods right here. Wintry weird politics, slapstick, isolation, and eccentric worldbuilding.
Melmoth--expendable divagation into an Oscar Wilde obsession.
Flight, Women, Reads, Minds--Good, interesting, maybe great, but the rot is clearly approaching and the misogyny first appears I think in Reads. (Cerebus is rather like the Star Wars question: everyone agrees Empire is the best and that at some point the franchise became terrible--nobody agrees about what point that is.)
Guys--Not as terrible as it is about to get, but clearly now just an old hippie telling jokes about bars.
From then on: total mind rot in progress. Very sad.
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Moebius
For English readers, the best starting place is the Epic/Graphitti collected edition #2--Arzach and Other Fantasy Stories. If you like that trip into his frenchy, pterodactyl-laden greenskinned dreamland then you''ll probably like the sci-fi stories in volume 3 Airtight Garage and volume 4 Long Tomorrow. His style has wandered quite a bit over the course of his career: dreamy greens, lumpy cowboys, unhatched New Age-isms, spirally psychedelic erotica, bog-standard balloon-nose French slapstick, so preview anything before spending too much money on it. This might help.
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Little Nemo
The earlier full-color strips are a jaw-dropping mix of Ringling-Bros fire-engine-colored Americana, opiated surrealism and art nouveau elegance. There is so much to admire that ignoring the black character in Sambo-makeup and pointlessly meandering plotlines is pretty easy. Last I knew, a complete edition hidden behind an incredibly ugly and unrepresentative maroon-colored hardcover was still available.
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Legion of Super-Heroes Vol 4 #5
Oh, it's a long story. But basically a crazy wizard manages to fuck up history so that magic defeats technology up until even the 30th century. So this single issue is the Medievalized versions of the superheroes trying to get their timeline back. Keith Giffen manages to do what Mike Mignola couldn't and creates the most convincingly Lankhmarish visuals in comics history.
Some people thought Keith Giffen's run on Legion was too dark, too dense, too complex, and too hard to understand. These people are all child molesters. There is nothing like it in the history of comic book storytelling and if we had to lose a few illiterate waterheads off the fanbase in order to see it, then those are the risks of the culture business.
Many more people have never even heard of Giffen's run on Legion of Super-Heroes because nobody fucking reads Legion of Super-Heroes. I envy these people because they can go buy back-issues of the first few years of Legion Volume 4 and be extremely surprised and confused and engrossed and happy for a few days in a way that's otherwise fairly difficult to do without taking off your clothes, leaving the house, getting fat, or paying some creep with weird facial hair for a carefully-titrated helping of something illegal.
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Thor #337-#367
Walt Simonson's run on Thor is exactly what level 15+ D&D should look like: Fire demons and usurpers and lone heroes mauling legions and hordes and bad elves and sound effects that take up half a panel and galaxies on fire and visuals like Viking tracery in a pinball machine. It was worth Stan and Jack making a beardless nordic Superman ripoff with a wingy helmet and six dots on his red-caped costume just so Walt could turn it into this. Check it.
Years later, Simonson did Elric, it didn't work.
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Sandman #50
Neil Gaiman's stories always work best when the artist inspires the dizzy wonder he wants you to feel and P. Craig Russel's take on Arabian-Knights-era Baghdad is as dazzling as it needs to be. Planescape fans also must read Gaiman's "Season of Mists" storyline. It is pretty much exactly where Planescape came from. Plus Kelley Jones drew it, so even if you disagree, hey, Kelley Jones.
Speaking of Kelley Jones: Batman: Red Rain is Batman + Dracula so kinda maybe you have to read that and Jones' Deadman is full of horrific-pretty-much-even-the-end-table-looks-like-a-zombie KJ visuals.
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There are, of course, many other comics that deal with the fantastic. Did I hear about (your favorite one here)? Bone? Red Nails? Prrrrobably. Did I like it? Probably not, otherwise it would be here in this list. But if I haven't, I'd love to check it out. Good comics are hard to come by. Wait, Red Nails is good, it's here.