This recommendation is a bit different, as it's a series that is still currently running. It's the latest from author Brian K. Vaughan, who you may remember as the author of Y: The Last Man, one of my previous recommendations.
I very quickly became a fan of Vaughan's work, particularly his creator owned projects. Ex Machina is also a very great series and worth checking out.
Saga is still, relatively speaking, in it's infancy compared to the finished lengths of Y and Ex Machina, but is is very quickly becoming an enthralling read. Most reviews you read of it will likely contain the description, "It's _____ meets _______ !" with the blanks inevitably being filled with Star Wars, Game of Thrones, Romeo & Juliet, or Lord of the Rings. It's true it is set across many alien worlds and embraces the fantasy brand of sci-fi that sets Star Wars appart from other sci-fi franchies. It's also true it deals with a lot of fiction politics and war. The main characters are lovers from opposing factions, drawn together despite their peers trying to separate them. There are many fantastical races. Those are passing similarities. Going into Saga believing that comparison though, may lead you to believe that you've read anything like Saga before. You haven't.
It creates a new and vibrant world that is unlike anything you've seen before, yet immediately feels comfortable and familiar. It never feels alienating and is always keeping you guessing. The characters are beautifully multidimensional.
I obviously can't give too complete a review, since, as I mentioned it's still in progress. But this isn't a review page. It's a recommendations page. I recommend you pick up Saga.