Hellboy, Vol. 2: Wake the Devil
Hellboy, Vol. 3: The Chained Coffin and Other Stories
I'd still really love to get that cover as a tattoo when I've got the funds.
Hellboy, Vol. 4: The Right Hand of Doom
Hellboy, Vol. 5: Conqueror Worm
B.P.R.D., Vol. 1: Hollow Earth and Other Stories
Story-wise, it's fantastic, but the horrible artwork for Abe Sapien: Drums of the Dead took it down a notch for me. My first taste of the B.P.R.D. comics and I'm looking forward to more.
Oh, and Lobster Johnson's comment about "self-inflicted justice" was classic.