Lauren Davis of io9 has helpfully compiled a list of some of the most thought-provoking or outright nerdy webcomics currently being published. Among them is one my favorites: Zach Weinersmith's Saturday Morning Breakfast Cereal. His comics often go over my head, but not often enough that I get tired of reading them. Zach has a deep and broad knowledge of the natural sciences, philosophy, and literature.
I also recommend following him on Twitter, where you can often see his refreshing intellectual humility.
In the comments, list and link to your own favorite webcomics--nerdy or not.