(and any others interested in Marvel Cosmic), the place you really should start with is Jim Starlin's original Captain Marvel/Adam Warlock/Thanos stories. Starlin did for Marvel Cosmic what Chris Claremont did for for mutant books.
The Life and Death of Captain Marvel
is out of stock at Amazon proper, but you can still get a good price at the Amazon Marketplace.
The Essential Warlock
not only has Starlin's Warlock work, but also the work of the writers who came before him. The final story in this volume, the two-parter that crossed over from Marvel Team-up
Annual 2 to Avengers
Annual 7 is cited by Joss Whedon as one of his quintessential Avengers