[Protoclown]

Preacher is my favorite comic of all time. Sandman is also fucking amazing. And of course, you can't really experience the graphic novel until you've read Watchmen.

Others I think you might enjoy, Miss Mod (some are stand-alone actual 'novels', and some are series, but these series DO have endings and are structured like large epic novels, though three of these are still in progress; I'm also staying away from the superhero stuff, as I'm guessing that wouldn't be what you're looking for):

Y - The Last Man
Fables
Black Hole
Pride of Baghdad
Blankets
V For Vendetta
Transmetropolitan
Persepolis
From Hell
100 Bullets
Goodbye, Chunky Rice
Maus

Also, I own Jimmy Corrigan Smartest Kid on Earth but haven't read it yet. My understanding though is that a lot of Clowes fans also really enjoy Chris Ware, so you might want to give that a look.