Grimjack was a comic that ran from 1984 through 1991, created by John Ostrander and Timothy Truman, published by First Comics. The title character is a thoroughly nasty man, birth name John Gaunt. He lives in the city of Cynosure, which is a sort of multi-dimensional crossroads. He starts out as a gladiator, fights in the Demon Wars, becomes a trans-dimensional policeman, and eventually goes freelance. His self-description, from the first issue:
I bust people out of prison, hunt down vampires, fight alien gods -- all the fun jobs people are too squeamish or too polite to do themselves. Call me a mercenary. Call me an assassin. Call me a villain. I am all that and more.
Later on in the series he dies a few times, getting resurrected in a couple different ways. Eventually John Gaunt dies for good, but the spirit of Grimjack enters a young man named Jim Twilley, who carries on in issues 55 and up.
There are 81 issues that I know of, plus the Demon Knight graphic novel. Grimjack made appearences in "Warp" and "Starslayer" as a backup feature before getting his own book, and later showed up in Marvel's "New Mutants". He also appeared briefly in Roger Zelazny's second Amber series as a courier/assassin.