"Torso" by B.M. Bendis. Historical fiction, what happened to Eliot Ness after he left the FBI and became head of the Cleveland PD to pursue America's first documented serial killer. A personal favorite.
"From Hell" by Alan Moore. Despite the crap he has kicked out in recent years, at his peak he was as good as they get. This comic has dozens of pages of footnotes, and they aren't superfluous. Moore's take on who Jack the Ripper really was. Probably wrong, but very well thought out and researched.
Well, this has a science fictional character, but the character is tangential to the actual mystery. It's Concrete: Fragile Creature by Paul Chadwick. His character is, yes, a man trapped inside a huge rock body, but the attempted murder and sabotage of the special effects on a movie set are otherwise well-written, with excellent characterization and a believable story arc.
You can take a look at Fables: Legends in Exile (Willingham), Batman: The Long Halloween and Batman: Dark Victory (both my Jeph Loeb). While the contexts are conceptual, there's nothing supernatural about the mysteries in them.