yeah, get the Hellboy Library editions and the BPRD Plague of Frogs hardcovers. ~$35 for the former and ~$23 for the latter. The Mignola stuff is hundreds of pages of art that you could just cut out and plaster your house with. Complete the decor with a few pentangle throw rugs and some dripping candles!
Godland is 2 issues away from finishing, which means only about another 2 years to go. But it's not like the story is particularly coherent. It's a moment-to-moment thing, a vibe, a wave that you ride, a door that you open in your brain!
Atomic Robo is basically science Hellboy played for laughs. It's the Saturday action serial to Hellboy's Hammer House of Horror. It's very light but clever and expertly paced. The different volumes do that Planetary genre-hopping thing too (as they're set in different eras, the titular Robo being quite old). I'm divided on the art - it has its moments, some of the characters are very expressive...but it's overall pretty bland and he really cheats on backgrounds etc. The script and characterizations are much more of a draw for me.