I love this series and am slowly acquiring all the books in it. It's fairly expensive, but, if you like the Sandman series, it's a lot cheaper than buying each individual comic. This book isn't the best in the series, but it's still very good. It's not like most comic books. There's no superhero intent on defeating an evil supervillain for the good of mankind. A group of magicians want to capture Death but instead capture Dream. He stays caged for decades, and, when he finally escapes, he has to find his tools (a bag of sand, his helm, and his Dreamstone).
This first book relies too much on guest appearances made by DC characters, but Gaiman does manage to move beyond that by the eighth issue, "The Sound of Her Wings". I really enjoyed that issue, which has the first appearance of Death. She's the reason I started reading the Sandman series. I'd read The High Cost of Living, and I loved the idea that Death could be a perky goth girl who you could really get to like. Mike Dringenberg, who does the pencils for the eighth issue, does an excellent version of Sandman and Death. I don't really like Sam Keith's version of Sandman that much, but his depictions of horrific things, like Hell, are wonderful. I also liked "Dream a Little Dream of Me", in which Dream has to find his bag of sand and is getting help from John Constantine, and "24 Hours", in which Doctor Destiny has Dream's Dreamstone and is driving the world mad. I consider both of those issues to be top horror. It's definitely worth it to get this book.