I pretty much enjoyed Sandman, too - great characters and challenging stories.
Season of Mists is a personal favourite - which for those who don't know: Lucifer decides he's bored of being the lord of Hell, empties it of troubled souls, and then goes walkabout. A pair of angels are sent to administrate what's left, whilst a great variety of gods from other mythologies decide Hell could make a pretty good Freehold and start vying for possession of it. Wrap that in a somewhat gothic atmosphere and -
tra la! - Season of Mists.
Title is from a poem by Keats, btw.
Actually got a little bored of the series towards the end - there was something about it that seemed a little forced, and I didn;t at all care for the last major story arc (when Puck and Loki get together to force the death of the Sandman by the Fates - there was something forced and meaningless about the storyline).
Overall, pretty great - some interesting challenges about sexuality - and a great set of core characters. Delirium was always my fave.