***Excerpt from a couple of book reviews found here***
DREAM COUNTRY –
I urge you to do two things: read all of the SANDMAN books; and read them in order. You must do the first because these books are great literature and great literature will affect you. I urge you to do the second because though each volume is complete in itself, the series is one epic tale. You wouldn’t read War and Peace starting at page 168, would you? Approach SANDMAN in the same manner, begin at the beginning and end… well, at the end. If however, by some strange twist of fate, you should find yourself with DREAM COUNTRY in your trembling palms, begging your attention and you haven’t yet had the pleasure of the first two volumes, you have dispensation to read it.

A GAME OF YOU –
Alice in Wonderland meets Priscilla: Queen of the Desert and The Wizard of Oz, as directed by Joseph Campbell, A GAME OF YOU is what your favorite bedtime story grew up to be.

:-D
Major Sandman resources on the ‘Net :

The definitive Neil Gaiman page
Annotations to the comics
Dave McKean’s Artwork