My Young Man is a fan of Captain Britain, and he lent me the three volume set of stories by Paul Cornell - Captain Britain and MI 13 - Secret Invasion, Hell Comes to Birmingham and Vampire State. Despite not really knowing anything about the backstories of the characters, I thought they were great - the Black Knight has a rather sweet romance with a Muslim woman doctor, who gets to wield Excalibur! Which is extremely cool! Running MI-13 is Pete Wisdom, who gets his own Paul Cornell comic spin off (also extremely good) Rudiments of Wisdom.
And for something completely different, I also enjoyed Widdershins, by Kate Ashwin, which now runs to three volumes - the adventures of Harriet Barber, pipe smoking bounty hunter and inept wizard Sid Malik in an 1830s alternate universe where magic works, and a separate story about a man who can see normally invisible spirits and his German violinist friend. Those are only available online, I think, or from the author herself at Conventions.