I have a 1989 copy of that Grant Morrison & David McKean Arkham Asylum, it's brilliant: dark, psychological, and most likely the basis or at least original inspiration for all the 'Dark Knight' troubled hero stories of recent years.
They're both exceptionally talented, and McKean has also collaborated with Neil Gaiman on many graphic novels that garnered significant praise, such as Signal To Noise, the Sandman series, Black Orchid, & many more.
Quite familiar with both of them... except for them working together, so maybe not as familiar as I thought lol. Love McKean because of Sandman, my 'to read' list is way too big, but Arkham Asylum is now somehow on it and a little higher up.