Halloween is the month that people celebrate the dark tidings of human nature. Originally it was the period of a pagan rite of the time when it was believed that the dead would return. The night it happened the celebrants would celebrate by having a ritual of knocking on doors and giving gifts or treats to keep away the dead or keep them from killing the host of the home. Some ascribe it to solely Samhain but there are some other similar festivals and rites that are similar and are tied in with the harvest.
Jack Kirby's DEMON is a character that has been done well in many versions, and that you can find most of the runs of the character from many of the series of the character is fortunate. Unfortunately, a great run has been virtually ignored. Alan Grant and Val Semeiks returned The Demon from some miswritten fuckery to a naughty bastich who preferred to kick demonic butt as much as anything. He was also returned to being a rhyming Demon, whereas it was often only an off and on trait previously. Please DC, PLEASE, collect this work.
Neil Gaiman rose to prominence with this take upon the character Morpheus, otherwise known to comic book readers as The Sandman. Gaiman touched many new audiences, and his work was literary, smart and worth seeking out. A number of other creations were launched out of this series, most notably DEATH. (See below). Sandman was marked as a mature readers product but it was not nearly horror, more simply, the setting was not every day and the characters were not afraid to be evil, if needed or part of their character.
Mike Carey's Lucifer on the other hand was perfectly comfortable with an evil lead character, but, more from a cosmological perspective than from his outright behavior. Carey's work was more thoughtful and evocative than most any comic work on a regular series before or since. The Prince of Darkness was shown as negotiating his way through the politics of hell, and through the levels of earth and heaven as well. The mature tag here was earned but, not for excess or gore. You pretty well needed to be intelligent to catch the very well written and highly nuanced work.
While Lucifer and Sandman were subtle, nuanced, intelligent works, written without any desire to be satire or droll parody, Preacher by Garth Ennis was a work that slapped the face of American culture's love of guns, god and patriotism. In a post apocalyptic setting, Preacher was said to be a man of God, and he faced a world that burning, with hate, bleeding, and dystopic fear. Racism, hate of outsiders, and simple lunacy were the currency of the moment. Ennis is a brilliant writer and surely this was a work in which he demonstrated his writing muscles. He was both extravagant and subtle, restrained and outrageous. And those are hard to match.
And with Hellblazer you have a title that had many hands in the creating of a major legacy of true horror and amazingly solid year after year of writing and illustration. I should simply begin with the work of Jamie Delano, who was the first writer of Hellblazer after DC split him from the pages of Swamp Thing. Some saw his work as dark beyond redemption, but what they missed was a writer telling stories of a character dealing with hell, the other worlds of the spirit realm, and surviving them. Of course it would be dark. In many ways Delano's work set the tone for the future writers on the book, and it was a great beginning. Constantine was a cigarette smoking wise ass occult genius who got himself into dangerous situations all the time, he was hated in every realm but strangely could call on demons, angels and humans for help with past due promises of help owed him. He was the perfect character for Vertigo. Meanwhile the comic for the Swamp Thing was dark but never too dark for the mainstream and when it went to Vertigo it was nowhere near what the other comics were. But, John Constantine was perfect.
As mentioned in the Sandman paragraph, Death was a character that became popular under the pen of Gaiman, and DC/Vertigo used her to connect with Goth culture, and to be a spokesperson for a number of public service messages about safe sex. Death: Time of her Life and Death: High Cost of Living were smash hits. The character was and remains a popular character as is evidenced by the cosplay at conventions.
Two different series of UNKNOWN SOLDIER pissed off a number of people who preferred the old Unknown Soldier who was a 1960s war story hero. Both Vertigo series reimagined him and the stories were magnificent. Garth Ennis took his Unknown Soldier into the dark world of Wet operations and cover ups, while Joshua Dysart wrote about the horrors of Child Soldiers and war crimes in Africa. Both series were amazing, so, if you like the original, these aren't that, but they are good.
Tim Truman and horror writer Joe Lansdale wrote three different series of Jonah Hex. They are not your typical western, not your typical horror story, nor are they typical anything. The mojo here might be too powerful for most people but it is indeed worthy.