The comics

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Agreed, start at the beginning, Seed Of Destruction. With each step in the series (available in collected trades) author/artist Mike Mignola creates a deeper, darker and more complicated universe. But be aware--at least in my opinion--the tone of the movies (especially in the Golden Army) is markedly different than the books. I'm a fan of both but the best analogy I can come up with is that in the books, Hellboy's personality is closer to a 'few-words', hard-boiled Philip Marlowe and in the movies he's like a Han Solo with something of an inferiority complex. Although I like the convergence of film and comic---as when he gets to say 'BOOM' when hitting something.