I used to play role-playing games where we were the superheros, and the plots always seemed better than the mainstream comic ones. What I'd like to find is a superhero comic where the main characters (or even the bad guys) are 100% believable, where they made mistakes, learn, grow, react, feel pain and sadness, grief, etc. The show Arrow is amazing in this regards, the main character is fully flesh and blood and makes bad choices, and has to live with the consequences. Not seen that in mainstream comics (but then again, I don't read many so I could have easily missed them)
The Sixth Gun is worth tracking down, I enjoy it immensely. Also ones like Hellblazer, the main character really is a screwup, and the issues tie into one another, so there is a real sense of history about John Constantine.