My first venture into the Sandman series was the Doll's House. It was a surreal, thought-provoking experience with intriguing characters in endlessly shifting settings. Then I discovered the rest of the series and it blew my mind. The numerous references from different cultural mythologies and tales blended very well with the storylines. Combined with the art, it makesfor a wonderful reading.
The series starts out in the supernatural end of the DC Comics universe with nods to Superman and Batman but then peels away from superheroes and splashes in the fantasy-horror pool, becoming a series of stories about stories. There is the occasional artistic misstep, but for the most part, Neil Gaiman brings out the best in his collaborators.
Possibly Neil Gaiman's greatest work. An incredibly detailed world and cast of characters that weave in and out of reality, and completely sucks you in. Its a bit creepy at times, but a great work of comic literature.
Gaiman plays masterfully with myths and legends, and deliver an amazing story that will often move you, with a cast of truly charismatic characters. Cons: Different artist gave life to Gaiman's visions. Some of them are amazing, some not so much.