Sandman is of course one of the classics of the modern graphic novel. Odds are if you give a shit about the medium, you’ve already read them. Hell, even if you don’t give a shit about comics, you’ve probably read them.
Reading the series from the beginning is really interesting. You get to watch the writing develop. The first installment, Preludes and Nocturnes, is really not very good. By the third, Gaiman is hitting his stride and the scripting and dialogue is among the best I have read in comics. The only sustained criticism I have is that the art seems so dated to the late nineties. Is that just the nature of the comics’ medium? Will they always betray the time period in which they were drawn? Perhaps. Still worth reading if a well done story is your thing and you can look past the goth-like artwork.