It's possibly because Neil Gaiman uses a mixture of the mystical, mythical, and psychological. It's not gore, but he won't shy from touching blood.
I enjoyed the Sandman series in majority, but found that his shorter Sandman stories were especially rich - some of the longer ones could get lost in themselves, as the series ultimately did towards the end.
Not read any of his novels - often been uncertain that he could write his stories at novel length, but possibly I'm being just plain old stingy.
