Like much of Gaiman's fiction, the first volume of Sandman goes to some dark places, draws heavily on minor and unsung bits of myth and legend (in this case, the old folk figure of the Sandman, who gets lumped together with the minor Greek god Morpheus), and is just very vaguely - almost unknowingly - sexist.
The story is quite straightforward: Dream/Morpheus/Sandman is released from a seventy-year captivity and sets about restoring his powers and his kingdom. Possibly because of the graphic novel format, and possibly because so much of it is founded on bits of myth that we already know, I found it a lot more convincing, world-building wise, than most of his work that I've read: what it's doing not only with old stories but with new genres (a couple of DC superheroes turn up in one of the issues) feels rich and fascinating, and I enjoyed how it plays with panel placement, so you're never quite sure where you are, or where you're meant to be, on the page. It has an appropriately dream-like feel to it.
On the other hand, female nudity seems to be a big theme, with male nudity kept to an absolute minimum. There's a male character who literally wanders around with no clothes on; the lengths the artists go to to make sure his genitalia aren't visible beggar belief in a book in which the first thing the narrator mentions about a starving woman are her shrunken nipples and breasts are on display at every opportunity. Gaiman also seems to make a lesbian sleep with a man - admittedly, both are under the control of a superpowered maniac, but the denial of her sexual identity feels offensive and unnecessary.
And, let's face it, Dream may as well be Neil Gaiman himself. Which is just a little bit disturbing.