All the GOG games that come with a comics bonus:
[url=http://www.an-ovel.com/cgi-bin/magog.cgi?ver=671&scp=gdspur&dsp=ipgfsorlcmbahTP&ord=&flt=ban~cm~&opt=]http://www.an-ovel.com/cgi-bin/magog.cgi?ver=671&scp=gdspur&dsp=ipgfsorlcmbahTP&ord=&flt=ban~cm~&opt=[/url]

Hard West :D

XIII has a very comic-like style to it. It has cel-shaded graphics and onomatopoeia (correct word? :P). The menus are also made to look like a comicbook, and a small comic appears in-game when you do a headshot.

Deadspace had one, and an excellent animated version is on youtube.

Mass effect 2 and broken sword 2 have digital comics as extras

Cybermage Darklight Awakening

Does Doom comic counts?

As far as one can remember:)

I am really interested in how the two can compliment each other, so I'm trying to hunt down as many examples as possible.

Max Payne 3.

Darkest Dungeon - each character class will have their own background comic eventually.

Why not both?
Comix Zone

I believe Mages of Mystralia have it's own comic, but it doesn't go with the game.

Enter the Gungeon has a DLC with a comic, and a useless gun :P

IIRC, Star Raiders for the Atari 2600 came with an Atari Force mini-comic.

In fact, I believe I have it and the mini-comic for SwordQuest: Fireworld packed away somewhere. *shrug*
I believe that Accolade's Comics went a similar route, IINM..