Promethea by Allan Moore.

Promethea is a fictional character who can become real if the story teller believes in her enough. The story teller who first created her knew that a mob was coming to kill him for heresy. He couldn't protect his daughter, so he told her the story and told her to run into the desert. As she lay dying she dreamed of the story again and again...

In the 1950s a male comic book artist heard the legend and began drawing his version of the character. He became so engrossed he became the woman he dreamed of.

Eventually the artist was killed by the FBI agent who was in love with her.

Worm?!