I've been aware of Sandman for a while now, but found the proliferation of Sandman-related books rather bewildering, and wasn't excited enough to dig around and work out how they all fit together. Anyway, the subject came up with Yee Fui and she lent me a couple of volumes, which I've since gratefully devoured (Season of Mists twice over; I'm halfway through a second reading of The Kindly Ones). I was initially something of a sceptic - I've always found Gaiman's purely prose work to be a little unsubtle and overblown (Coraline excepted, and the childrens' picture books fall in a different category) - but was quickly won over.
I think that the graphic novel format brings Gaiman's strengths - fervid imagination, interesting use of symbols and mythic tropes, the ability to paint on a large scale, and a talent for the grotesque - to the fore, and the Sandman narrative-set is a suitable subject for their showcasing. I was surprised by how dense its stories are, and how likable its characters (it's hard to pick favourite characters based on just these two, but Dream appealed, needless to say, and likewise Death (and, in a different way, Delirium); also liked Matthew the raven). The comics are really inventive, particularly in the writing (which is also rather clever in places), and yet have a flowing, easy-to-follow style which may owe something to the fashion in which they tap into so many cultural archetypes; while reading the two volumes, I frequently got the sense that Gaiman was involved in a kind of metaphorical mapping of our collective (un)consciousness, a suspicion borne out by the introduction to The Kindly Ones.
One thing that I found interesting was the way that figures like the Endless, Cain and Abel, Lucifer, the Furies, and so on coexist alongside both totemic figures like the raven, the mythological beast gatekeepers and the librarian, and other characters who aren't obviously drawn from any particular source while seeming to resonate with several (Hob Gadling interested me, and likewise Larissa; Mervyn is another example) - which seems true to the way that our unconscious would function, 'peopled' by this kind of diaspora of types, not all of which are readily accessible or recognisable for us. Reading Season of Mists and The Kindly Ones (volumes 4 and 9 respectively) left me with the sense that there are a lot of gaps for me to fill - I guess I have a new series to track down through Rowden White.