Yesterday was a great day: I finally received the latest volume of the Order of the Stick comics (thanks Thomas for forwarding it, as it arrived one day after I left the US ). The Order of the Stick is one of the first web comics I've started reading, and it's definitely my favorite. I've bought every book, and regularly read the new strip that comes out (too) infrequently.
There are two other comics I follow online. One is the classical PhD Comics, an almost 10 years old comics about doing a PhD. This is quite realistic, and that's probably why you'll often find printed strips displayed in research labs. As for the other, WereGeek, I only started reading it a few weeks ago. It's still in the purgatory zone (in the sense: will I keep giving it some time), but I like the role playing and board game references.
If you have some favorite web comics, don't hesitate to mention them in the comments!