yeah I'm pretty new to comics as well, I find anything by Alan Moore is awesome. Especially the Promethea series.

A few favorites.

1. The Goon.
2. Hell Boy.
3. Johnny The Homicidal Maniac. This may only be available as a graphic novel but it's a total laugh!
4. Squee. He is a neighbor to Johnny. A graphic novel only.
5. Again you may have to get this in a graphic novel form but "Milk and Cheese" is unlike anything you'll maybe ever see!
6. Deadpool. The Maxx series I avoid because it lacks the humor that Deadpool has in between killings.
7. I have to agree with the Judge Dredd series. A classic series which helped lead me to comic shop titles.

TyrC!

Depends what type of stuff you're into. One of my personal favorite series is the original Ultime Spider-Man. They come in many volumes, reprinting all the issues starting with the first. The original Spawn series is cool and different from most of the stuff Marvel and DC put out, and also comes in collected volumes. I am currently following DC Universe Online Legends, which has about 4 more issues in its run and I highly recommend it. Besides that, umm....well Superman is my favorite character, so anything from him. Humor-wise, I did enjoy the Futurama comics.

I see The Sandman's already been mentioned, in that case I'd take a look at the Dawn series of comics.
Especially if you fancy something different and double especially if you like red heads with big boobies.