Lost Girls is hilarious to me because I have no idea why Alan Moore thought the world needed a book about the X-rated sexcapades of "real world" analogues of Dorothy from The Wizard of Oz, Alice from Alice in Wonderland and Wendy from Peter Pan.
Moore went crazy and had Captain Hook rape Tinkerbell, made Peter Pan a male prostitute, Alice was a lesbian nymphomaniac, and Dorothy was boning her dad. That book is twisted as hell.
If you wanted to try something less pornographic by Moore that isn't "capes and tights" stuff I recommend From Hell (if you haven't read it already).