All of the comics are canon, but I think I know what you mean. The first 5 take place directly during the show (4 about the main gang, and 1 about the woodsman's daughter), so they are the most canon I suppose. Those 5 are now in an actual book, which I really recommend, it's very nicely put together. The on-going series (Greg's dreams, Wirt's dreams, the Woodsman's daughter, and occasionally Langtree's school) can be found at about half of most comic book stores, I've been to around 7 or so shops lately, and had luck at 3 of them.
Yep, the first offical comic collection Over The Garden Wall: Tome Of The Unknown containts the backstory of the Highwayman and his talking horse Fred!
​
https://www.amazon.com/Over-Garden-Wall-Pat-McHale/dp/1608868362
Well the most obvious recommendation would be the plethora of OTGW stuff that's been released since.
If you haven't checked it out yet the original short is available online, right here on youtube.
The first comic collection has stories from in between episodes, and I believe is cannon.
Since then, there has been an ongoing comic series. These contain stories from after the show, the longest thread being Greg and Wirt's adventures in their dreams. However there are also stories about Anna (the Woodsman's daughter), Mrs. Langtree, and others. The first few collections are available on amazon.
Lastly, a concept art book is about to be released, if you are interested in that sort of stuff.
Hope some of this helped!
The first 5 issues were a limited run of comics, which take place in between episodes of the actual series. You can buy it on amazon, or at most any bookstore. This one I definitely recommend!
After these issues, a full series began month to month. This series alternates stories, with the main story being Wirt and Greg's dreams (where they return to the unknown), with the Woodsmen's daughter, Mrs. Langtree's school, and other stories intersecting. These ones are certainly less connected to the actual series, but still really pleasant reads in my opinion. On the unfortunate side of things, issue 20 (November) appears to be the last, with no official word since then. On the bright side, they are now being released in sets of 4 in nice collections.
Volume 1
Volume 2
Volume 3
Volume 4
I own all the comics, so feel free to ask any other questions!