If you haven't heard or read The Sandman comics yet - I would HIGHLY, highly recommend that you go find them at your nearest library right now. I would say book store or library, but they were always too expensive for my then-student's pocket.
Blurb from The Sandman:
Meet the Endless, a family of immortals that govern all aspects of life and death throughout the universe. However, one of theirown lays captured--Dream, the Lord of Sleep. As Dream makes his escape and returns to his duties after 70 years of imprison-ment, he encounters countless characters from myth, legend and comics, from Lucifer himself to the tragic Greek hero Orpheusto the HELLBLAZER John Constantine.
Right. The blurb tells you nothing.
It doesn't say that the Sandman graphic novels are amongst the most creative works of art you will ever see, anywhere. Just wait till you get into Book 2, and begin to see the genius of the story and characters!
The Annotated Sandman will do a page-by-page discussion on each Sandman comic. The first three pages are available here at tor.com, and we get a sense of the crazy detail and historical references that the Annotation covers.
Read this only after you read Sandman, this would be a great second/third read of the Sandman comics.