And now that's jogged some memories, I'd suggest perhaps some of his work with Dave McKean first as a taster for Sandman as it's quite an undertaking in itself. Blurbs pinched from Neil's website.
Violent Cases : An exploration of the trappings of violence and the failings of memory, Violent Cases marks the beginning of the astonishing and award-winning collaboration between author Neil Gaiman and the artist Dave McKean, offered in its first Dark Horse edition, in softcover format with coverflaps. Set only in the memory of its author, this brillant short story meanders through levels of recollection surrounding a childhood injury. After dislocating his arm, a young boy is taken to see a doctor - an aged osteopath who was once the doctor of legendary gangster Al Capone. Through studied observations and painstaking attempts at truthful recall, the author reconstructs his tattered memories of the events surrounding his meeting with the doctor, and delves into the psychological complexities that emerged from the doctor's bizarre tales of Capone's life of crime.
Black Orchid : After being viciously murdered, Susan is reborn fully grown as the Black Orchid, a hybrid of plant and human, in order to avenge her own death. Now as this demigoddess attempts to reconcile her human memories and botanical origins, she must also untangle the webs of deception and secrets that led to her murder. Beginning in the cold streets of a heartless metropolis and ending in the lavish heartland of the thriving Amazon, this book takes the reader through a journey of secrets, suffering, and self-rediscovery.
Mr. Punch : A dark and frightening fully painted novella, MR. PUNCH tells the tale of a young boy's loss of innocence results from a horrific confrontation with his past. Spending a summer at his grandfather's seaside arcade, a troubled adolescent harmlessly becomes involved with a mysterious Punch and Judy Man and a mermaid-portraying woman. But when the violent puppet show triggers buried memories of the boy's family, the lives of all become feverishly intertwined. With disturbing mysteries and half-truths uncontrollably unraveling, the young boy is forced to deal with his family's dark secrets of violence, betrayal, and guilt.
Signal To Noise : Originally serialized in The Face, Signal to Noise is the story of a film director dying of cancer. His life's crowning achievement, his greatest film, would have told the story of a European village as the last hour of 999 A.D. approached -- the midnight that the villagers were convinced would bring with it Armageddon. Now that story will never be told. But he's still working it out in his head, making a film that no one will ever see. No one but us. Signal to Noise is a poignant story, rich in humanity, depth, and communications theory. (This was my first exposure to their collaborative work when it appeared in The Face)