Sin City by Miller
Watchmen
All Star Superman
New Frontier by Cooke
Asterios Polyp by Mazzucchelli
Maus by Spiegelman
Dark Knight Returns
Batman:  Year One
Criminal by Brubaker
Jimmy Corrigan by Ware

Long episodic work that reads like a novel:
Sandman

Long episodic works that will likely end up like a novel:
Walking Dead
Fables