http://en.wikipedia.org/wiki/The_Sandman_%28Vertigo%29

This wikipedia article gives some stuff on it. There may be some spoilers in it, so read carefully. People generally mark spoilers on wikipedia, though.

It is hard to say why it is so good. Gaiman is just amazing in everything he does. He is my favorite writer by far in both novels and comics. He started with the comics, so reading his novels first won't hurt, but it won't help either, really. The Sandman is very enriched and interwoven with mythology and magic, and the story is just amazing overall.