For better or (mostly) worse, I am a bit of a completist. I tend to get kind of wrapped up in a particular film-maker or author and then want to go through all their work. (To say nothing of all the jazz (mostly hard bop) CDs in my house. That was a crazy obsession only now dying off.) Since I do have some self-awareness about this, there are certain things I simply try not to get into. Even as a kid, there were 3 or so lines of Spiderman comics, and who knows how many Batman spin-offs. Knowing that I would not be fulfilled without all of them, I wisely never tried to collect any of the comics.
I really owned very few comics as a child perhaps because my allowance wasn't that large. (I had a handful of Star Wars action figures, but nothing like a complete set!) The only comic book I did follow to some extent was Uncanny X-Men. I had a very small number of X-Men comics (roughly issues 123-137, which was a pretty good run). I liked X-Men for all kinds of reasons, but not least of which was that if you only followed for that short run, you saw heroes dealing with loss of power and fights with fatal/tragic consequences. Obviously, if you follow any comic long enough, even the deadest hero (and especially villain) comes back for more. Same thing with Doctor Who where villains are resurrected after 20+ years. In a way, it is a real shame, as some of these storylines had the beginning of the makings of real literature, but then they were totally undermined by later writers who wanted to reverse these "permanent" bits of the canon. In some ways, that just proves the point of those that consider comic books immature kids' stuff -- it is just wish fulfillment in a world where ultimately there are no meaningful consequences. I have to agree that in the last couple of decades it has gotten particularly bad with multiple universes where nothing has impact on the main (canonical) storyline. And reboot after reboot (though this seems more problematic in films than comics).
Over time, I read some of the more serious graphic novels, especially Moore's Watchmen and Miller's Dark Knight Returns (probably in college not too long after each came out). I think Watchmen does a slightly better job in coming up with a world with consequences. Dark Knight Returns is still too much a part of the DC world where even death is ultimately reversible in some fashion. Both of them opened the doors for darker plots and the Miller also had a grungier look. I'm not entirely sure where I would put Neil Gaiman. Most of his stuff is still largely wish-fulfillment (even if they are very dark dreams indeed in Sandman) but he certainly aspires to be more literary. I have not made an attempt to read through all the Sandman books (again, knowing my limits).
I actually have only a very few comics that I still follow today. Perhaps the one that I have been tracking the longest is Futurama from Bongo Comics. Naturally enough they are the ones that publish all the Simpsons comics as well. The first issues came out towards the end of 2000, maybe a year after Futurama aired on Fox. It was more of a supplement to the shows (and definitely not as well written), but then in the dark years when Futurama was cancelled, I did find myself enjoying it more. Then I moved away from Chicago and it became much harder to track down. I do occasionally search out back issues, but didn't feel quite as obligated when the show was renewed. I definitely don't feel I need a complete set, which is probably just as well. I estimate I have 40 or so of the 60+ issues in the series. Ironically, it is in the comics rather than the show that they still make deliveries to other planets and encounter new aliens. They almost never seem to leave New New York on the tv show. This is only a slight exaggeration. While they do occasionally leave Earth in the episodes since the "Rebirth" episode, I can think of only a single episode that had anything at all to do with package delivery -- "Mobius Dick." I do think that is a bit unfortunate.
The other long-running serial in my collection is Girl Genius, which came out in early 2001. In fact, in those days when not everything was on the web, I might not even have come across it, except I was spending more time in comics shops (due to Futurama). Anyway, Girl Genius was by Phil Foglio, who I have been reading since his early days, though I didn't follow him regularly until 2001. He drew What's New with Phil & Dixie for Dragon Magazine way, way, way back in the day (early 80s). At some point I found out about Buck Godot (probably after I started reading Foglio again with the emergence of Girl Genius). I collected the first 5 trade paperbacks of Girl Genius, but kind of stopped after it went to its web-based format. I do like Girl Genius for its cheeky style, though I find the plot does drag quite a bit some months. They are seriously contemplating that this be a 20-year arc (i.e. they are only about halfway into the story)! It is certainly the most amusing steampunk comic I read (though the field is narrow). On the whole, I have a slight preference for Buck Godot, though it doesn't look likely that Phil will ever do anymore in that line, but never say never.
The other writer I follow with some regularity is Dean Motter, who is best known for Mister X and the closely related Electropolis and Terminal City. I think occasionally these comics suffer for having more style than substance. That is, they draw fairly heavily on German expressionism, starting obviously with Fritz Lang's Metropolis, and mixes it up with film noir motifs (this is particularly true of Electropolis). The cityscapes are haunting and sometimes disorienting. Mister X takes this a step further, making the main character an architect (if his story is true perhaps) who feels responsible for the way that Radiant City is affecting people negatively -- if they had only followed his plans, the fools! As the comics progress, you find that no one is a reliable narrator and that few people are who they say they are. Definitely feels a bit like The Prisoner going down the rabbit hole at times. I came to this comic fairly late (probably because it was recommended for fans of Transmetropolitan) and built up my collection. The core are two series of comics - a 14 comic series begun in 1984 and then volume 2 with 13 comics begun in 1989. There were a few one-offs and then a short 4-episode run in 1996. Then Motter largely turned his attention to Terminal City and Electropolis. Around 2008, Motter essentially rebooted the series with Mister X Condemned, which has been followed by Hard Candy and Eviction.
The best overview of what is out there, including a recent reboot to the series around its 25th anniversary can be found at Motter's website. This does focus more on the trade paperbacks and anthologies one would need to collect Mister X (about 4 now by my count -- Mr. X Archives, The Brides of Mr. X, Condemned and Eviction, which would collect essentially everything except the 1996 4-part series -- not a bad way to go). However, these collections weren't around when I got into the comic, so I compiled my collection at Chicago comic shops and on-line. For a detailed book by book accounting of the series, go here. I actually had done a better job than I thought, and it turns out I was only one book short from a complete collection of Vols. 1-3, so I ended up scoring that last week. My interest is definitely cyclical... I definitely don't think the comics are for everybody, as the plots are quite convoluted, and since they occasionally reverse themselves, they can be frustrating. It doesn't pay to get too connected to any particular character, as none of them have particularly "good" or noble motivations.
I already mentioned Transmetropolitan. I suspect I was tipped off to this at a New York comic shop. The main character is a reporter (or at least a media presence) who is fairly indifferent to personal interest stories (and even the impact he has on sources as he chases after stories) but who really loves to speak truth to power. He's sort of an antihero with a bit of the hero hidden inside (actually not all that uncommon for comics from this period -- late 90s and beyond). Artists working in this media still have trouble really writing true antiheroes. I think in their hearts they realize that the audience for even fringier comics like Transmetropolitan still expects a certain morality at base. It's really hard to move past that. Perhaps the closest writers get to this is when they write characters who have an Olympian perspective (like Dr. Manhattan from Watchmen) who still can be considered "moral" but who operate at a scale quite different from those of us here on the ground. While the city is truly an awful one as portrayed in this comic (maybe even more out-of-control and certainly more drug-fueled than Miller's Gotham City), the artwork is a bit closer to Watchmen (more controlled, cleaner pencilling, etc.)
I honestly have no recollection of how I learned of the next comic that I followed (or tried to follow): Fall Out Toy Works. The most likely link was seeing a random story about Pete Wentz (the lyricist for Fall Out Boy) in the Reader or another Chicago paper, as Fall Out Boy is still a Chicago-based band. It was actually fairly hard finding these comics (5 total) in local comics shops, since they were on an imprint (Image) with very limited distribution (even less than Bongo, which often has its own shelf). In the end, I only tracked down 3. On the other hand, the trade paperback collecting all 5 issues is still available and generally goes for a song. This is perhaps the most conventional of the comics I followed in that it was a fairly simple story of an inventor who made a female robot for a client, then fell in love with her and tried to reneg on the deal (shades of Pygmalion and Galatea). Its artwork is much more manga-based (think the sequels to Ghost in the Shell) and is not steampunk at all. I suppose I wanted to see how well or poorly the whole robot-romance thing was handled, since it can be so squicky. (This general plot line plays a small part in a book I am working on.)
Anyway, every time I looked for Toy Works on Amazon, it would direct me to Umbrella Academy, almost certainly because of the rock star link. This comic is the brainchild of Gerard Way of the group My Chemical Romance. So I finally checked this comic out. It is definitely interesting, but nothing at all like Toy Works. It is a SF universe with children (later adults) with super powers (and even some time travel). There is a robot, who was sort of a nanny to the children (and this is a bit of a recurring theme, as there was a construct who played the same role in Girl Genius), but she is a very, very minor character. But the similarity pretty much stops there. Umbrella Academy may be the darkest mainstream thing I have read, mostly because most of the characters really seem to have a nihilistic outlook (and their actions are consistent with this outlook unlike Spider Jerusalem from Transmetropolitan who essentially just plays at being a nihilist). It's almost refreshing that way in being more consistent, if very dark. I suppose you can't have a comic about people who don't care about anything at all, and what Way seems to do is to play with the concept of family. They probably seriously don't care about the larger world at all, but most of the characters have a powerful love/hate relationship with the other orphans from the "academy" that became a bit of a family. I suppose you could say this is stolen from X-Men, and I couldn't really argue against that point too much. The look of Umbrella Academy is sort of a hybrid of Miller's Dark Knight Returns and Moore's The League of Extraordinary Gentlemen.
So I have managed to keep the scope of my interest in comics to a fairly restricted set, which is good (both in terms of my time and my spending money). Most of these aren't even active titles. At the moment only Girl Genius and Futurama are still on-going, though Motter has resurrected Mister X in a limited way.