While the Sandman books are basically perfect, none of Gaiman's prose novels which I've read have especially satisfied me - they embody a real commitment to, and facility for, storytelling, but always seem somehow just a touch heavy-handed, as readable and at times subtle as they are.
Short stories, though, on the evidence of this collection (which, I realised almost as soon as I started the introduction, which itself contains one of the better stories in the book, "The Wedding Present", I've read before), may be Gaiman's most natural province outside of graphic novels - nearly every one of these is excellent, narrative-driven and haunting and often very dark, and only occasionally slipping into being overly obvious. Fairytales, parables and fables, with a handful of out-and-out chillers - very nice after-midnight reading.