especially the period of lancelot when he leaves G to Arthur and scoures the world for the chalice thingy, Dredd to is on a quest, and is single minded enough to see it through, aquest for justice (even if he has to use 'current' laws to carry it out.
Durham Red has a lot of Joan of Arc in her, a religious crusade in the last series.
Anderson seems to be every witch that was ever written about (especially the good witches), actually I'd like to think on this one some more.
Johnny Alpha - a bit of a robin hood/green man, Hern type character
and thats just some of the 2kad characters, I think you could have a field day picking out hero characteristics of anglo-saxon or medievel characters from the entirety of comic characters, for roman/grecian mythology check out Sandman from DC, Superman is very Arthurian, Batman is every anti-hero rolled into one, check out Marvel UK's Knights of Pendragon (from 1990/91), speaking of Bat's Robin is every knights sidekick (can't think what their called)
please get back to us with some more info on particular mythological characters your looking for