1. Grimjack (First)
2. Hellboy (Dark Horse)
3. Mage: the Hero Discovered (Comico)
4. Elementals (Comico)
5. T.H.U.N.D.E.R. Agents (the Tower and Deluxe runs)
I'm leaving out some other comics that were published by DC or Marvel for at least part of their runs, including Dreadstar, Top Ten, Promethea, Planetary, and Kabuki. Admittedly, DC published a T.H.U.N.D.E.R. Agents run in recent years, but that was decades after the Tower run.