I recently finished volume 4 of Fables. It is a comic that takes very well know and established children’s story characters and applies them to a modern world. The stories from your childhood have had to flee their lands and establish an outpost in the real world New York. Snow White, Jack and the Beanstalk, and the Big Bad Wolf all assume roles in this new society that attempts to remain hidden from human eyes. Some characters are combined, such as Prince Charming is every Prince in each story; a womanizer who cheated on each princess when rescuing the next.
While there is the occasional back story, the general plot is continuous and overarching through each volume. New characters are introduced, though some are from somewhat obscure Fables with little backstory of their original story provided. This means hitting up wikipedia every once in awhile to research a character.
You can download the first issue for free here: