This series has been an ongoing read for the last couple of months, and one that I have very much enjoyed.
Most of the episodes are the brain-children of Mike Mignola, who is that rare and wonderful triple-threat of design, writing, and art. He plotted and wrote about 90% of the issues, and he did the art for another good chunk of them. I'm not a comic books or visual arts expert, but I really appreciated the sort of spare and stylized and wildly inventive work that Mignola does. That's not to say that the other artists are bad (they're not! And it's neat to see the same characters in ~10 different styles), but it was Mignola's work that first drew me in. Another way of complementing him is to mention that ~20 of the early issues of Hellboy were created by standard comic-book writers, and the difference between their work and Mignola's is just night and day. The non-Mignola issues are pure hack work, and should definitely be skipped over.
Of the 230 issues that remain, only about 30% of them are actually about the titular Hellboy. This isn't really a bad thing, as Hellboy has a tiny bit of the Superman problem of being too invulnerable, and his themes can end up being a bit too repetitive. He's still a neat character though, and it helps that you see him all through his life. There are growing up vignettes, the months spent wrestling and boozing in Mexico, and tons of one-off investigations in the 50's-80's, in addition to the main story line issues. It's also consistently neat how Hellboy perceives and interacts with the living, the long-dead, and the super-natural in a seamless fashion. That is to say, from his perspective the spirit of someone who died 50 years ago, or was executed 600 years, ago is just as real and normal as a living person standing in the same room. So his stories often have these psychedelic transitions between the present day, the past, the spiritual, and the supernatural.
Most of the non-HellBoy issues are set in the BPRD, a government agency responsible for investigating, pre-empting, and trying to contain various supernatural and Lovecraftian threats. The stories cover teams of human and super-natural BPRD agents as they go on their missions. As someone who grew up on X-Com, I am deeply, deeply primed to love this sort of setting. And as with X-Com, things often don't go very well, and there is an appropriately high casualty rate for mortal agents trying to deal with various end-times monsters. There are a couple of rolling apocalypses in the story, as the after-effects of the Nazi space-program have started to release the 369 Lovecraftian monsters buried beneath the earth! Mignola is great with Lovecraftian monster design; for the big ones they are rarely just one thing, rather they unroll and molt and sprout and sporulate in a dozen different ways. He also earns points for destroying most of Houston in an enormous volcano; as a long time resident of the city I say it can't happen too soon.
Besides the above story lines, there are couple of offshoot storylines that have grown to various proportions. There's a witchfinder in the 1600's, an emo and peg-legged and harpoon wielding vampire hunter around pre-WWI Europe, the cheerful and cunning Russian sailor who's water-logged corpse rose to be the head of the Russian BPRD, and of course, the incomparable Lobster Johnson, who is Mignola's version of a golden age Batman or Phantom. Lobster Johnson seems to be a little supernatural (he might be re-incarnating in the corpses of the criminals he has branded?), but he mainly relies on fists, guns, cleverness, and an unshakeable dedication to justice. I started off a bit skeptical, but as with all of Mignola's work I quickly got into it. Feel the Lobster's Claw!
Hmm, what else to say at this point. I think Mignola does a great job with the advice that I've had a few times on this page, that it's ok to just tell small, mostly self-contained, clever stories. I will happily read a 100 of them, as long as they are this high of quality.