5. Sandman
Dream, the star of Neil Gaiman's classic comics series, is one of modern comics' most compelling characters. The multi-volume Sandman series explores the storyline of Morpheus, an immortal being and the anthropomorphic personification of dreams, learning that he must change or die. Dream is part of the Endless, a "family" of immortal beings like Death, portrayed as a cheerful goth chick, and Destiny, as a monk-like figure whose book contains everything that ever was and will be. The series starts out as a horror comic before morphing over time into high fantasy with Gaiman creating a rich, fantastical world for Dream and the increasingly large supporting cast to inhabit, especially Morpheus' realm, the Dreaming. The stories tend to be set in the modern day though, because Morpheus is immortal, Gaiman has fun writing stories set in the past such as Dream spending time with Shakespeare. Though the series ended in 1996, new stories have popped up now and then like Endless Nights in 2003 and the currently ongoing prequel, Overture, issue #2 of which comes out this month. It's currently being made into a big budget film with Joseph Gordon-Levitt attached as the Dream King himself.