I found Gaiman through the Coraline movie and book. Sandman seemed to be the most talked about of his work so I started there.
Vol 1 follows Dream, or Morpheus Lord of the Dreams, as he is captured by Burgess and forced to live in a glass bubble for over 70 years. After escaping, quite smartly, Dream goes on to find his stolen artifacts: a helmet, a ruby and a pouch of sand.
Dream has to bounce around between dreams/nightmares and the waking world in order to get his possessions back and regain his power. His kingdom had fallen into disrepair (to put it nicely) while he was away and he works to rebuild it.
Dee, or Dr. Destiny, was the creepiest of all the people that Dream has to go up against, including the demons from hell. That's saying something.
I loved this book. The story was fantastic and the drawings were great and darkly disturbing.