Recently I've heard this is something similar to Lost, and I love Lost, so I'm asking you this: Is this worth reading? I would appreciate if you said something more.

And BTW. What are comic book series that are good and have good twisted, and complicated mythology?

Morning Glories is being sold as something of a mystery akin to Lost. I've been picking it up since the first issue and I can say that much like Lost there are just more and more questions but little in the way of answers as of yet.
Is it worth picking up? Well, it isn't a title I've felt compelled to recommend to anybody yet, however it is something other than a superhero title and has a gripping enough story thus far. So maybe try picking up the first trade and see if it is something that you'd invest in?

"What are comic book series that are good and have good twisted, and complicated mythology?"

I'd say of course Hellboy and BPRD.

Jenny Finn: Doom Messiah
Sir Edward Grey, Witchfinder
Age of Bronze
The Ring of the Nibelung
Chronicles of Wormwood (pretty twisted, not my cup of tea though)
Northlanders

I read the first trade. While it was a decent read, it just felt like a storyboard submission for a film treatment. There are many, more deserving books out there.

I will say this though. The cover art is gorgeous.

This series is great. I recommend it to everyone. There is miseries and danger at every corner. So far the story is not completely clear, but some pieces of the puzzle have been revealed and its exciting. There is a lot of mysteries and that makes the series great so far. But, as every story of this kind, the factor that will determine if this is pure genius or just another throwaway will be the answer. So far it's been great and I can't wait for the next issue.

The first 6 issues are so are great, then the next few are pretty good, then by the point where I was caught up I wondered why I kept reading it.