DNA methylation is a key epigenetic factor regulating gene expression. While promoter-associated methylation has been extensively studied, recent publications have revealed that functionally important methylation also occurs in intergenic and distal regions, and varies across genes and tissue types. Given the growing importance of inter-platform integrative genomic analyses, there is an urgent need to develop methods to construct gene-level methylation summaries that account for the potentially complex relationships between methylation and expression. We introduce a novel sequential penalized regression approach to construct gene-specific methylation profiles (GSMPs) which find for each gene and tissue type a sparse set of CpGs best explaining gene expression and weights indicating direction and strength of association. Using TCGA and MD Anderson colorectal cohorts to build and validate our models, we demonstrate our strategy better explains expression variability than standard approaches and produces gene-level scores showing key methylation differences across recently discovered colorectal cancer subtypes. We share an R Shiny app that presents GSMP results for colorectal, breast, and pancreatic cancer with plans to extend it to all TCGA cancer types. Our approach yields tissue-specific, gene-specific sparse lists of functionally important CpGs that can be used to construct gene-level methylation scores that are maximally correlated with gene expression for use in integrative models, and produce a tissue-specific summary of which genes appear to be strongly regulated by methylation. Our results introduce an important resource to the biomedical community for integrative genomics analyses involving DNA methylation.