An unarguable entrant from the Comic/Graphic Novel fraternity; Tales of the Black Freighter within Watchmen. A comic within a comic.
I thoroughly enjoy the idea behind The Black Freighter and the entire Pirate comic genre. In the Watchmen universe, masked vigilantes exist, so there would be little interest in comics about people like them, as something real can't be escapist. Ergo the comic writers in the Watchmen universe would pick on something else, like pirates, to take people out of their real world and into imaginery ones.
Such thought is typical of the impressive depth of Watchmen. The pirate story is not really intrinsic to the plot* (c.f. the film doing away with it), although the development of the comic-within-a-comic story does work as a commentary on the main story, but it's there and is wholly logical within the confines of the developed universe.
SPOILER
*Well, one of the leading comic script writers within the universe (christ the terminology here gets confusing, doesn't it?) provides the scenario for Ozymandias' plot to bring about world peace. He, along with the others specialists who realise the plot, then get murdered by Ozymandias to prevent them revealing the world peace inspiring incident is in fact a fabrication.
But hey, that bit of plot development could all have been achieved without the space devoted to the Black Frieghter and the Pirate comics back-story. None of the other essential specialists for Ozmandias' plot were given such treatment. It's almost as if we are meant to think that comic script writers have some kind of supieror power to shape the world, isn't it? Max Shea as a proxy Alan Moore.