Neil Gaiman has become a household name, at least in nerdier households. The success of Coraline raised his you-better-read-this status exponentially, but those of us that are deep, deep nerds have been Gaiman fans for a long time.
Just like the now-dissolved Touchstone Pictures was the grittier and weirder production company underneath Disney, Vertigo is DC's more adult, graphic imprint.
The thing that makes Sandman so fucking good is that it's just so original. Neil Gaiman's brain is a special, wonderful place, and it should be protected at all costs. His ideas are just out of this world, and Sandman works to tie together literature, inside jokes, and culture — all wrapped in a hugely unique package.
Basically: you should fucking read Sandman.
Dream, the Sandman, makes for a wonderful protagonist but the real breakout star is Death. A small, make-upped goth girl, Death is the person who will guide you from your last moments into the afterworld (or whatever awaits you). She was so popular, she got her own mini-series, and it is worth reading over and over. In it, Death becomes human for one day and one day only every 100 years so she can truly understand what it means to live — so she can never take a life for granted.
Death's mini-series, The High Cost Of Living, and The Sandman series have been optioned for movies for a while, but of course complications have arisen. We may yet see a cinema interpretation of Gaiman's seminal work, but even if we never see Dream and Death on the silver screen, we're sated. The Sandman is a series that still stands up, and stands on its own.