I’ve finished. What started as a bit of rubbernecking (“What’s all this about graphic novels?”) turned into a growing compulsion to go home and feed on stories.
I think the best way to read the series is to start on Book 4, Season of Mists (reviewed here). Sandman is an epic, so follow the Greek tradition and pick up the thread in the middle. After Season of Mists, Books 1-6 can be read howsoever the books come conveniently to hand. Starting on Book 7, Brief Lives, it becomes a good idea to read in order.
The first half of the series is frolicking good fun, but the undertow will come out and grab you in Brief Lives, World’s End, and The Kindly Ones. Books 10 and 11, which are essentially epilogue and afterglow, only make sense if read last.
The series is, surprisingly, a single piece of work. It makes the Bookcase. When my wandering days are over, I’m buying the hardcover set.