Why Isn't This in Print? #1 - Shade the Changing Man 

by Peter Milligan, Chris Bachalo an others

From Wilipedia: "Rac Shade, an alien poet from the planet Meta, is recruited by Changemaster Wizor to become a Changing Man. Shade is deceived into traveling to Earth, causing his body on Meta to rot. As humans die when taken over by a Changing Man, Shade possesses Troy Grenzer, a serial killer about to be executed. Shade befriends Kathy George, whose parents were murdered by Grenzer, and Lenny Sharpio. He also must avoid law enforcement, who believe he is still Grenzer. Shade's first mission on Earth is to fight the American Scream—actually Wizor—and stop the madness of Meta from flowing into Earth. Shade also battles with Grenzer, as a portion of his conscience survived and repeatedly tries to retake his body. Shade also develops an alter-ego, Hades, who causes Shade to give in to his own desires.

After the first storyline, the series shifted its focus to telling the love story about Shade and Kathy.[1] Shade is killed, but his spirit is transferred to the body of a recently murdered red-headed woman. After further strange adventures, Shade is killed again, but angels force him to return to Earth and do their bidding. They provide him with a human host created for just such an occasion. The strain of death and the afterlife cause Shade's mind to become both unhinged and combined with that of Hades. Thus, Shade has no permanent hold on sanity and will bounce from impulsive mania to thoughtful collection quickly. He reunites with Lenny and Kathy, opens the Hotel Shade, and meets John Constantine. Kathy and Shade also have a child.

Kathy is eventually killed. Shade becomes a red-head again, but this time with a short mod cut. Lost in mourning, he removes himself from his old life and moves to the city, where he befriends a deaf dancer and the reincarnation of Nikola Tesla. He also attempts to bond with his son only to find that the child is suffering from a fast aging disease. Tired of suffering, Shade removes his heart and locks it in a metal box, becoming more apathetic to surrounding characters and events. Shade eventually loses control of the Madness, which begins feeding on his subconscious and maiming and killing innocents. Desperate to put things right, Shade gathers his remaining colleagues and develops a time machine. The resulting struggles are met with limited success—Shade's son, for instance, finds himself trapped in a female body—but Shade is reunited with Kathy."

https://en.wikipedia.org/wiki/Shade,_the_Changing_Man_(Vertigo)