I've been reading Brian Michael Bendis and Michael Avon Oeming's Powers series, and man is it good. I've got the eight volumes that the Madison library has all checked out right now, and as I've read each one I keep the previous volumes by my side because there are so many little things that tie back and forth between them.
Sometimes they are so very subtle--the repeat of a scene, the look on the face of a character, an offhand comment. Unlike so many other comics out there (the big DC and Marvel titles) this series has a consistant team working on the story and art, and there is only one title. So the plot stays true throughout, as does the look. Stray bits of story come around in later episodes, and you don't have to chase down five different titles to keep track of it all.
The story really is gripping. It has held my attention since the first page of Who Killed Retro Girl? and I was pleased to see that elements of that story crop up again and again in later stories. You never get the whole tale, but if you pay attention, more will be revealed in time. My favorite character from WKRG? showed up in Legends, and in the way that I suspected, which pleased me to no end. Of course, now that I've read all eight, my choices are either to buy the next one or hope that the library acquire volume nine soonish. I'm actually considering buying them all, once I have the discretionary funds for it.