Hmm, I just realized that someone might regard these as spoilers... maybe you shouldn't read this if you haven't enjoyed the Sandman books.
---- SLIGHT SPOILER WARNING
The graphic novels are just amazing, and the notion that even the Endless are, as Dream says to Desire at the end of "Doll's House", mere playthings to humans, is interesting. Another favorite moment comes at the middle of "The Wake", when Cain, Abel, Eve, Eblis O'Shaugnessy and Lucien are leaving to attend poor dead Sandman's wake and Matthew asks that if no one died, who are they mourning? "A point of view", says Abel.
"The Wake" is also one of the most incredible works of art I have ever had the pleasure of enjoying and owning.
His portrayal of Lucifer, and of the somehow similar demon Crowley(?) from "Good Omens" (with Terry Pratchett) have me smiling every time, they just seem so... right. And the same goes for every myth, fable and legend he incorporates into his wonderful stories, which happens to be exactly what I think Sandman is about:
Stories.