This won't be popular, but Persepolis. I didn't jump right into the Holy Grail of GNs and I think I was better off for it. The art of Watchmen is a bit... old looking. Persepolis has a much more modern style that helps me get into it more. Don't get me wrong here, Watchmen is great and the style works for it, I just wouldn't choose it for a first. And I definitely wouldn't recommend starting wit Sandman, though you should get to it eventually.