Watchmen, the only graphical novel to have won a special achievement Hugo Award, is the creation of Alan Moore (Writer) and Dave Gibbons (Artist). The title refers to the Latin Quis custodiet ipsos custodes or in plain English Who watches the watchmen?
The entire story is built using fictional documents: news reports, journals, comic book story and articles on/about the Watchmen. It often goes into flashback mode to explain a character's point of view and motivations. Artwork, characterization, popular culture, historical events have all been woven skillfully into the story to make it believable. This is more than what can be said of certain other productions.
For instance, in Volume VI one of the characters in the series mentions the murder of one Kitty Genovese as the event that started his conversion from Kovacs to Rorschach. Had I not read Tipping Point sometime back, I would not have paid much attention to this tiny detail. As it happens Kitty Genovese was a very real person and her murder gave rise to a psychological phenomenon that became known as the bystander effect or Genovese syndrome.
Alan and Dave repeatedly use the Doomsday Clock as a motif in their novel to highlight their concern about the cold war escalating into World War III. By integrating small details like these into Watchmen, Alan Moore/Dave Gibbons have done a commendable job.
As an aside, I have found some of these comic books delve into deep philosophical/ethical/moral questions. Naruto, my current favorite Anime, too explored quite a few such issues. This is what, in my opinion, makes these books tremendously exciting.