It's come as a bit of a surprise to me that I've worked my way through nearly the entire Sandman series in this scattershot fashion - in fact, after a bit of thinking, I'm fairly confident that I've read all of them except the last, The Wake (I've said it before and no doubt will say it again many more times: I'm really going to miss the university libraries).
Anyhow, Preludes & Nocturnes was the very first collection, and it's much more straightforwardly 'horror' than any of the subsequent ones. In certain respects, I'd spoilt this one by having read the prefatory notes to volume 2, The Doll's House, which summarise the events of Preludes & Nocturnes, but of course finding out what's going to happen is only half the pleasure. I don't know how much I'd have enjoyed these without the connecting thread of the whole Sandman thing - meeting Judy, say, or seeing Morpheus' battle with Choronzon to recover his helmet. Again, there's a very strong sense of 'story' throughout. And, coming after this procession of darkness and horrors (not always hand-in-hand), "The Sound of Her Wings", which is the last issue reprinted here and also the first of The Doll's House, is even more of a relief.
Dream Country is also from relatively early in the series - volume 3 - and it collects four shorter narratives: "Calliope", "A Dream of a Thousand Cats", "A Midsummer Night's Dream" and "Façade". All enjoyable, but relatively minor, I feel.