Lucifer, the comic book, has been running from Vertigo for -- well, I guess about six years now. 75 issues, anyway. It's an unusual comic, but not a unique one, because it is very much like Sandman at the highest structural level, and the comparison is instructive.
Lucifer picks up where Sandman left off, more or less. More precisely, it follows the tale of the Morningstar out of that comic. In Sandman, one of the pivotal stories is the day that Lucifer decided to quit -- when he realized that he had little desire to run Hell, so he closed up shop and left. This story explores the question of what Lucifer *does* want, and how he goes about getting it.
Like Sandman, the tale and the protagonist operate on multiple levels. Sandman was ostensibly about Dreams, but was really (on the thematic level) about Stories. In a similar way, the sometime ruler of Hell is shown as really the avatar of Freedom. Mind, though: this isn't Freedom in the nice earthy-crunchy sense. This is Freedom as a cold absolute, overwhelming all other considerations. (Most especially and explicitly contrasted with the ideas of Love and Family.) This is a devil who has had all the passion burned out of him over the aeons, until all that is left is that cool desire for Freedom at all costs. Along the course of its run, the story explores this theme in all its facets, and doesn't really moralize. Lucifer is not a hero to emulate: he's a force to be respected, and perhaps feared.
Indeed, Lucifer scarcely works as a protagonist, since he is so very absolute. So the story rarely uses him as the viewpoint character. Instead, the story is mainly told through the eyes of the people around him. Mazikeen, the firstborn demoness of the firstborn woman, whose service to Lucifer is as absolute as his rejection of that service. Christopher Rudd, the Victorian idealist who, rather by accident, finds himself the new ruler of Hell and tries to remake it as a righter place. And most especially, the young girl Elaine, who slowly evolves over the story from merely being the subject of a side-plot to being at the center of it all.
I won't kid you: this isn't quite the world-class story that Sandman was. In particular, the writing isn't quite as lyrically perfect as Gaiman's. But that said, the structure is every bit as subtle and elegant, the characters nearly as compelling, and the theme even more deeply explored. The tale wends through a number of major phases, from the slow growth of Lucifer's Plan, to the exploration of the world *he* would create (and the difficulties of being God when you believe in personal Freedom as the highest ideal), to the Second War of Heaven and the consequences thereof. No spoilers, but suffice it to say that the highest spiritual levels of the DC universe are left quite different by the end of the story.
If you think of Sandman as A+ work -- the creme de la creme of the comic book form -- this is a solid A-. Not quite up there with the greatest work ever, but a damned good read. If you like your comics a little more cerebral, I commend this long and complex novel. (And once I have the comics unpacked and sorted, I look forward to someday rereading it from the beginning, knowing now where it is going...)