As it is just as valid a story medium as any other, there are plenty of tales with pictures that are also worth reading. Quite a few have been turned into films too.

From Hell

Alan Moore
While the film of this huge novel wasn't bad, it missed just about everything. This comic contains a wealth of material on the conspiracies and occult nature of not just the people but the city of London.

Girl Genius

Phil and Kaja Foglio
Adventure, romance and weird science, what more could you need? This online comic is available in collected volumes (if you can find them).

Ghosts of Albion

Amber Benson and Christopher Golden
While not quiet a comic or a film, this series of magical ghostly Victorian stories is well worth a look. Two teenagers discover they are the heirs to a great power as defenders of Albion, and are assisted in their endeavors by a variety of ghosts. The stories can be found as animations on the web as well as written stories. Find the original stories here.

The League of Extraordinary Gentlemen

Alan Moore
So much better than the film. There are two stories featuring the greatest Victorian imaginary heroes and heroines. The first has them seeking Moriarty in Chinatown, the second fighting an invasion from Mars.