Paradax first appeared in the three issues of Strange Days (1984-1985) and to date is the Milligan/McCarthy team's only venture into the genre of superheroes. Paradax's not so secret identy is Al Cooper, a New York taxi driver who find a strange costume that gives the wearer the power to phase through solid objects. Instead of trying to save mankind with his new found powers Al realises that this is his chance for the fast track to celebitiy status. Two years after Strange days, Al Cooper got his own two issue spin-off, Paradax.

Note: You'll likely want to start with issue #2 "Paradax: Remix", which reprints the stories from the Strange Days anthology. #1 (more-or-less) picks up where that story left off. 

Here's a good review: 
http://robot6.comicbookresources.com/2012/05/greatest-comic-of-all-time-paradax-remix/