It wasn't until I had finished Neil Gaiman's first volume of The Sandman chronicles, Preludes and Nocturnes, that I realized that what I had read was a horror comic. And, dumbly, what made me realize it was the post-script written by Gaiman himself when he described his book as horror. And I thought, that makes sense because it was quite disturbing for a regular superhero comic.
Superhero doesn't really apply here. The protagonist of the story is Dream, the immortal personification of dreams. He's not a hero. He's aloof and dismissive in his judgement, when applied, even as it appears brutal to us. He's not on the side of "good". He's the lord of dreams, and the stories presented present his re-emergence into the world from a long imprisonment.
Disturbing is always a matter of degrees, but Gaiman's writing is never the issue. I don't frequent horror as a source of entertainment, but if I do, I really prefer those that have a depth. In particular, the story "24 Hours"sticks with me as brilliant and particularly horrible. Will be collecting the other volumes.
(Read on the Kindle Fire and the quality was excellent.)