Promethea was kind of bizarre.
Lucifer takes off from the pages of Sandman. Along with everyone else, I'd go there next. The books of magic mini is good, as is v1.
For Hellblazer, start at the beginning. Jamie Delano and Garth Ennis have completely different takes on the character. If you aren't hooked by then end of Ennis's run, you don't need to read further.