Well, first of all, please note that I use the word "magick" very loosely. I know little about it, besides the stories I've read.
This said, "Promethea" is nice. Consider it a Magic 101 in comics. It tells you things about tarot, notions of Crowleyan magic and the magic inherent in supposedly banal and mundane actions. Story-wise it's more interesting at the beginning than at the end, but still an good read overall. From Alan Moore, I liked "From Hell" more. It can be difficult to read, but its gets better when you get the hang of it. It explores one of the most famous theories about who was Jack the Ripper, but it's actually more a vehicle to expose Moore's views on Spirituality. The punchline is brilliant!
There are other good ones, but I'll focus only on the Psychonaut-relevant ones.
Grant Morrison's "The Invisibles" is one of my all-time favorites.

rayer:Very whacky, it's a melting pot of every piece of 60's era counterculture, conspiracy theories and various forms of spirituality. It was allegedly the inspiration for "The Matrix", but it is tenfold more mind-expanding. From the 3 volumes, I found the last one to be the most difficult, but that's Morrison for you, creating stories that still intrigue you years later. Another good one is "The Filth". Equally or even more crazy, I'd describe it as what "Men In Black" might have looked like, had it been directed by David Cronenberg. :drool:
"The Sandman" is great stuff. My first serious comic, actually.

For those who don't know, it's the story of Morpheus, Lord of Dreams, and an exploration of the concept of dreaming and what it entails, expanding to other mythical realms and concepts further on in the series. I'm not so much a Neil Gaiman fan, but "The Books Of Magic" also has interesting things.
Vertigo Comic's "Hellblazer" chronicles the life of John Constantine, sort of a "magic detective". Twenty-five years long, many acclaimed writers have laid their mark on it, exploring all sorts of obscure magical references in a contemporary setting. The only downside is that it can be a heavy read for its dark and cynical tone.
By Warren Ellis you can try reading his free, online webcomic "Freakangels". Less enlightening than the ones above, but a funny and down-to-earth way to look at certain themes involving the human potential.
Finally, Mike Carey's "Lucifer" is, obviously, about Lucifer and the things he set out to do after the story we all know. Spin-off series to "Sandman", Volume 4 - read this one first, if you can. From the same author, "The Unwritten" is about the power of widely-known stories in the collective unconscious.
Films, I know less. I watched some David Lynch films about 10 years ago, but couldn't relate to them. Perhaps I should give it a try now. I liked David Cronenberg's style in "Videodrome" and "Naked Lunch". I remember Peter Greenaway's "Prospero's Books" is visually spectacular. And obviously everybody here must know "The Matrix".
I can't remember any others. I know Philip K. Dick wrote and inspired great stuff, but I'm reluctant to read his books because I wonder if they're still relevant to a contemporary audience. I read some books of Carlos Castaneda as well, which is purportedly biographical non-fiction, but denounced as fiction, though I have to say the same as of Lynch: I found it too strange at the time, but I might get back to it.
If nothing else, I hope I've given you valid pointers on good stuff to check out!
