Not all Graphic novels are comic books and these series is much more novel than graphic (though the art is amazing). I first read it in college and have been in love with the darkness of the characters and the mystery of the stories ever since.

The Sandman tells the tale of a family of personifications of archetypes. The title character is Dream, his sister is Death (I had a crush on her!), one brother is Fate. Each rolls through stories and into each other's lives as they help humans get through theirs (and receive help from humans too). It's a fairy tale but gripping.