The Sandman

Sandman chronicles the adventures of Dream of The Endless, who rules over the world of dreams, in 75 issues from 1989 until 1996. Critically acclaimed, The Sandman was the only comic to ever win the World Fantasy Award, and is one of the few comic books ever to be on the New York Times Best Seller list. Norman Mailer described the series as "a comic book for intellectuals."
The Sandmans main character is Morpheus, the Lord of Dreams, who is essentially the anthropomorphic personification of dreams. At the start of the series, Morpheus is captured by an occult ritual and held prisoner for 70 years. Morpheus escapes in the modern day and, after revenging himself upon his captors, sets about rebuilding his kingdom, which has fallen into disrepair in his absence. Gaiman himself has summarized the plot of the series (in the foreword to Endless Nights) as "The Lord of Dreams learns that one must change or die, and makes his decision."