There are plenty of cracking good stories in the Hellblazer series, but Dangerous Habits is perhaps one of the best entry points. It's old-school gothic horror told with a modern sensibility, and it never, ever chickens out. The characters aren't just cardboard cutouts -- they have to make hard decisions and then live with the results.

The protagonist (you can't call him a hero) John Constantine, modern-day magus, is either the first or last guy you want as a friend. If you're having troubles of an otherworldly nature, he can fix them, but it will almost certainly cost more than you were willing to pay.